Review of Financial Studies, March 2016, v. 29, iss. 3, pp. 787-822

信息披露标準和收益對情緒的敏感性

作者：Brian J. Bushee (University of Pennsylvania-The Wharton School). Henry L. Friedman (University of California-Anderson School of Management)

摘要：我們證明高質量的信息披露标準下，股票的回報對于受投資者情緒影響的噪音更不敏感。我們基于指數回報和城市陰天（短期情緒波動的一個來源）之間的關系确定了回報-情緒敏感度（RMS）。在程式化模型的基礎上，我們預測并找到了證據證實：通過促使易受影響的投資者針對信息交易及幫助富有經驗的投資者套利，高質量的信息披露标準能夠降低RMS。我們的發現表明在降低回報的噪音（尤其是與投資者短期情緒相連的噪音）以提高定價效率方面，信息披露标準發揮着重要作用。

關鍵字：套利，質量，股票回報，股票

Disclosure Standards and the Sensitivity of Returns to Mood

Brian J. Bushee (University of Pennsylvania-The Wharton School). Henry L. Friedman (University of California-Anderson School of Management)

ABSTRACT

We provide evidence that higher-quality disclosure standards are associated with stock returns that are less sensitive to noise driven by investors' moods. We identify return-mood sensitivity (RMS) based on the association between index returns and urban cloudiness, a source of short-term variation in mood. Based on a stylized model, we predict and find evidence consistent with higher-quality disclosure standards reducing RMS by tilting susceptible investors' trades toward information and by facilitating sophisticated investors' arbitrage. Our findings suggest that disclosure standards play an important role in enhancing price efficiency by reducing noise in returns, particularly noise related to investors' short-term moods.

Keywords: Arbitrage; Quality; Stock Returns; Stocks

原文鍊接：

http://www.shareholderforum.com/access/Library/20150815_Bushee-Friedman.pdf

翻譯：孫雨琦