盈余公告期间个人投资者买入需求流动性？卖出提供流动性？

Extant literatures analyze the role in term of liquidity and information played by individual investors, with net buying as the measure of individual investor trading.Previously we find that both buying and selling of individual investors before earnings announcements are negatively correlated with post-event returns, implying that the liquidity role of individual investor buying and selling may be opponent. Overconfidence and disposition effect indicate aggressive individual investor buying and passive individual investor selling respectively. As a result, we infer that individual investor buying shows liquidity demanding but individual investor selling shows liquidity providing. To reach this goal, we investigate individual investor buying and selling separately. We adopt the latest panel data regression with two-way clustering correction to investigate the dynamic of individual investor buying and selling during earnings announcements; the predictive power of both individual investor buying and individual investor selling before earnings announcements for post-event returns; further examine whether this prediction stems from the liquidity demanding of individual investor buying and liquidity providing of individual investor selling respectively. Our study will provide new evidence for the role of individual investor trading in term of liquidity.

现有研究基本采用净买入度量个人投资者交易行为，分析个人投资者的流动性和信息角色。本课题关于中国台湾市场的预研结果表明盈余公告前个人投资者的买入和卖出都与公告后收益负相关，表明个人投资者的买入和卖出的流动性角色可能相反。过度自信和处置效应分别暗示个人投资者存在买入时激进下单倾向和卖出时被动下单倾向，因此我们推断个人投资者的买入需求流动性而其卖出则提供流动性。目前国内外尚未出现将个人投资者买入和卖出流动性角色分开的研究。为检验这一假说，本项目分别研究个人投资者买入和卖出行为的流动性角色，采用最新的经二维丛集性校正的面板数据回归方法研究盈余公告期间个人投资者买入、卖出行为的动态变化模式；研究盈余公告前个人投资者买入、卖出行为对公告后收益率的预测；通过收益率分解技术，检验这种预测是否表明个人投资者买入需求流动性而卖出提供流动性。本项目将为个人投资者流动性角色的研究提供全新的发现。

现有研究基本采用净买入度量个人投资者交易行为，分析个人投资者的流动性和信息角色。过度自信和处置效应分别暗示个人投资者存在买入时激进下单倾向和卖出时被动下单倾向，因此我们推断个人投资者的买入需求流动性而其卖出则提供流动性。目前国内外尚未出现将个人投资者买入和卖出流动性角色分开的研究。为检验这一假说，本项目采用台湾证券交易所的2005年1月1日至2010年12月31日的完整的逐笔交易数据，分别研究个人投资者买入和卖出行为的流动性角色。该数据不仅包含个人投资者类别，而且还有确切的每一笔交易的个人投资者的买入和卖出的具体的交易量。课题采用最新的经二维丛集性校正的面板数据回归方法研究盈余公告期间个人投资者买入、卖出行为的动态变化模式；研究盈余公告前个人投资者买入、卖出行为对公告后收益率的预测；通过收益率的分解以及检验盈余公告前个人投资者买入行为和卖出行为和同期收益率之间的相关性，以及个人投资者买入行为和卖出行为对历史收益率的反应来研究个人投资者的流动性角色问题。研究结果表明个人投资者买入需求流动性而卖出提供流动性，发现个人投资者的买入和卖出的流动性角色相反。本项目将为个人投资者流动性角色的研究提供全新的发现。