Abstract

This paper reexamines the issue of behavioral heterogeneity in the stock market. In contrast to previously documented contemporaneous results, we test the issue by identifying and testing four new determinants of the proportion of fundamentalists and chartists in the stock market. Our empirical results are consistent with the following notions. First, the proportion of fundamentalists increases for stocks with incremental information involved in accounting reporting as proxied by discretionary accruals. Second, the proportion of fundamentalists is positively related to the degree of dispersion in financial analysts' forecasts, which implies that stock investors care more about the intrinsic value of firms obtained with fundamental analysis when encountering information asymmetry or uncertainty. Third, the proportion of fundamentalists increases for stocks with higher volatility in prices. For the proportion of chartists, the reverse of these arguments holds true. Fourth, the proportion of chartists versus fundamentalists is related to the investment horizon. Investors give more weights to technical analysis when considering short-term investments. For long-term investments, investors increase the weighting given to the fundamental analysis.

摘要

本文重新审视了股票市场的行为异质性问题。与先前记录的同期结果相比，我们通过识别和测试股票市场中基本面主义者和图表主义者比例的四个新决定因素来测试这个问题。我们的实证结果与以下概念一致。首先，对于在会计报告中涉及增量信息的股票，以可自由支配的应计项目为代表，原教旨主义者的比例增加。其次，基本面主义者的比例与金融分析师预测的分散程度正相关，这意味着股票投资者在遇到信息不对称或不确定性时更关心通过基本面分析获得的公司的内在价值。第三，对于价格波动较大的股票，原教旨主义者的比例增加。对于图表专家的比例，这些论点的反面成立。第四，图表主义者与原教旨主义者的比例与投资期限有关。投资者在考虑短期投资时更重视技术分析。对于长期投资，投资者会增加基本面分析的权重。