异质信念与证券发行的股价效应

证券发行的股价效应不仅取决于公告信息含量，而且还与投资者认知特征相关。结合中国市场卖空制度环境，构建企业证券发行模型，探讨投资者异质信念对企业证券发行股价效应的影响机理，进而利用2008—2011年发行证券的上市公司数据，考察异质信念与证券发行股价效应的关系。研究发现：股权发行股价效应为负，债券发行股价效应不明显；与此同时，股权发行股价效应大小与异质信念正相关，而债券发行股价效应与异质信念无关。研究结论表明：投资者异质信念与证券发行股价效应的关系受证券类型影响。

Heterogeneous Beliefs and Stock Price Impact of Security Issuance

The stock price impact of security issuance is related to the announcement, as well as to investors’ cognitive characteristics. Based on the feature of short selling situation in Chinese market, this paper presents a security issuance model to explore the effect of heterogeneous beliefs among investors on stock price impact of firm security issuance, and then uses a sample of listed firms that issued equity or debt between 2008 and 2011 , to examine empirically the relationship between heterogeneous beliefs and stock price impact of security issuance. The results indicate that the stock price impact of an equity issue is negative, and that of a straight debt issue is zero. Moreover, the heterogeneity of investors’ beliefs is negatively related to the stock price impact for equity issuers, but unrelated to that for debt issuers. It shows that the relationship between heterogeneous beliefs and the stock price impact is influenced by the type of security.