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本文利用2008-2014年A股上市公司数据,研究投资者过度自信对股价同步性的作用,并考察分析师跟进对两者关系的影响。研究发现:投资者过度自信程度与R~2显著负相关,即随着投资者过度自信程度的增加,R~2降低;分析师跟进对投资者过度自信对R~2的降低具有调节作用。这表明R~2显著受到非理性因素的影响,同时也受到公司特质信息融入的影响。本文结论从投资者过度自信角度为R~2的解释提供新的实证证据。
Based on the data of A-share listed companies from 2008 to 2014, this paper studies the effect of overconfidence on stock price synchronization and investigates the impact of follow-up on the relationship between the two. The results show that there is a significant negative correlation between the overconfidence level of investors and R ~ 2, that is, R ~ 2 decreases with the increase of investors ’overconfidence level. Analysts follow-up has the regulatory effect on investors’ overconfidence and R ~ 2 decrease . This shows that R ~ 2 is significantly affected by irrational factors, but also by the characteristics of corporate information into the impact. The conclusion of this paper provides new empirical evidence for the explanation of R ~ 2 from the angle of investor overconfidence.