An Empirical Study On Momentum Of The Chinese Listed Company—From The Perspective Of Investor Sentiment

As a new discipline, the behavior finance developing fast and becoming mature, the impact of investors' irrational behavior starts enter the field of people's vision. Also, a lot of empirical evidence proved that the market prices of securities are not enough to reflect the intrinsic value, other factors that have significant influence exist, indeed. As an important indicator in behavior finance, over-optimism of investors is a vital and significant factor that has some influence on securities' nominal prices. In this paper, we use the listed companies which have announced carrying out M&A activities for the first time during 2006-2014 as our sample. By using event study methods and empirical analysis, we take the first announcement date of acquirers as the starting point of M&A events, then, from the perspective of investor's emotion, we study the merger momentum by using the long run and short run abnormal rate of returns of the acquirers as variables.Not only but also, by dividing our stock market into two conditions, we can find out that whether the investors' over-optimism has different incidence in bull and bear market. The results of this paper are as follows: the merger momentum exists in our merger market, and the return of acquirers reverse, but unlike foreign markets, the impact of the investors'over-optimism is not so strong, and the extent of over-optimism is different between different payments and different types of stock; secondly,which is the same as foreign markets, is that our merger market also be influenced by the irrational behavior of managers, so the market reaction will be more negative; lastly, the impact of investors'over-optimism on merger momentum appears stronger in bull market than in bear market.