Market Sentiment, Valuation Heterogeneity, and Corporate Investment: Evidence from China?s A-Share Stock Market

被引：5
|
作者：
Huang, Bo [1 ]
Fang, Xi [2 ]
机构：
[1] SLUAF, Pan Shulun Honors Coll, Shanghai, Peoples R China
[2] SLUAF, Sch Finance, Shanghai, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2021年 / 57卷 / 08期
关键词：
China's A-share Stock Market; corporate investment; market sentiment; sentiment beta; valuation heterogeneity; CROSS-SECTION; POLICY UNCERTAINTY; PRICE; SENSITIVITY; INFORMATION; DECISIONS; RETURN; RISK;
D O I：
10.1080/1540496X.2019.1672531
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the heterogeneous valuation of Chinese A-share stocks caused by high or low market sentiment and its impact on corporate investment during 2005Q3?2015Q2. We divide stocks into three types based on sentiment betas. We find that for ?speculative? (and ?bond-like?) stocks, overvaluation from high (low) sentiment increases corporate investment, but undervaluation from low (high) sentiment can be arbitraged away; ?investment-Q? sensitivity is relatively weak. For ?rationally valued? stocks, corporate investment is positively correlated with valuation and has no consistent relationship with market sentiment. However, changes in market sentiment can reduce the reliance of managers? investment decisions on valuation.
引用
收藏
页码：2230 / 2245
页数：16
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