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

信息披露标准和收益对情绪的敏感性

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

摘要：我们证明高质量的信息披露标准下，股票的回报对于受投资者情绪影响的噪音更不敏感。我们基于指数回报和城市阴天（短期情绪波动的一个来源）之间的关系确定了回报-情绪敏感度（RMS）。在程式化模型的基础上，我们预测并找到了证据证实：通过促使易受影响的投资者针对信息交易及帮助富有经验的投资者套利，高质量的信息披露标准能够降低RMS。我们的发现表明在降低回报的噪音（尤其是与投资者短期情绪相连的噪音）以提高定价效率方面，信息披露标准发挥着重要作用。

关键字：套利，质量，股票回报，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

原文链接：

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

翻译：孙雨琦