基于A股投资者过度自信导致过度反应的行为特征以及DHS行为模型（Daniel，Hirshleifer and Subramanyam，1998），本文探讨了A股反转效应的存在性，并进一步考察了信息不确定性与反转效应之间的关系。我们发现，A股市场在短期内呈现出很强的反转效应，但随着时间推移，效应逐渐减弱；而信息不确定性越大，反转效应就越强。在将股票收益率标准差分解为市场、行业和公司三个层面之后，我们发现，公司层面特有的信息不确定性是反转效应得以强化的根本原因。
This paper empirically investigates the relation between uncertainty and investment among China's listed companies, and analyzes the influence of government control on the investment-uncertainty relation. We find that there is a negative relation between total firm uncertainty and investment in China's listed companies. However, this holds only for privately controlled firms. Among privately controlled listed firms, investment is negatively related to firm-specific uncertainty, whereas among government-controlled ones, investment is positively related to market uncertainty. We also find that the risktaking preference of government-controlled listed companies is greater among those firms with fewer investment opportunities. Finally, among financially distressed firms, the negative relation between investment and uncertainty becomes nonsignificant because of risk shifting, which is more serious among government-controlled listed companies. We conclude that government control leads to state interference and weak corporate governance, which, in turn, distorts investment decision making among listed companies.
