选择性关注、鸵鸟效应与市场异象  

Selective Attention,the Ostrich Effect and Market Anomalies

作　　者：权小锋[1,2] 洪涛[2] 吴世农[2] 

机构地区：[1]苏州大学东吴商学院,江苏苏州215021 [2]厦门大学管理学院,福建厦门361005

出　　处：《金融研究》2012年第3期109-123,共15页Journal of Financial Research

基　　金：国家自然科学基金青年项目(项目编号:71002039;71102059;71102058)资助

摘　　要：基于认知心理学视角,本文研究了投资者对于信息的选择性关注程度对市场异象的影响效应,并在不同的市场态势下检验了这种影响效应的动态变化。研究发现:(1)投资者关注显著影响股票的横截面收益,其中价格反转收益与投资者关注显著正相关,而盈余惯性收益与投资者关注显著负相关;(2)基于投资者关注的认知状态差异,我国资本市场存在"鸵鸟效应",即价格反转收益在牛市比熊市更强,而盈余惯性收益在熊市比牛市更强。本文的研究结论证实了"投资者关注"假设,为投资者和监管层了解市场异象形成的关键驱动因素及其形成机理提供帮助。Based on the perspective of cognitive psychology, this paper analyzes the effect of investors＇ selective attention to information on the market anomalies and tests the dynamic change of this effect in different market state （bull market and bear market）. The results show that： （l） price reversal profit is a significant positive relationship and earnings momentum returns is a significant negative relationship to investor attention. It indi- cates that the degree of investors＇ selective attention to information could significantly influences the cross sec- tional profits of stock price ; （ 2 ） based on the cognitive status difference in investors attention, Chinese capital market existing ＂the Ostrich Effect＂, the price reversal profit is stronger in bull market than that in bear market and the earnings momentum returns is stronger in bear market than bull market. The research results confirm the hypothesis of ＂investor attention＂, and provide a new explanation for investors and regulators to understand the key driver factors and formation mechanism of market anomalies.

关 键 词：投资者关注 鸵鸟效应 市场异象 

分 类 号：F224[经济管理—国民经济] F832.51