投资者注意力配置对资产定价的影响:眼球效应与曝光效应  

The Impact of Investor Attention Distribution on Asset Pricing:Eyeball effect and Exposure Effect

作　　者：董大勇[1] 吴可可[1] DONG Da-yong;WU Ke-ke(School of Economic & Management,Southwest Jiaotong University,Chengdu 810031,China)

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《系统工程》2018年第9期51-58,共8页Systems Engineering

基　　金：国家自然科学基金资助项目(71271174;71862003;71773100)

摘　　要：在以东方财富网用户自选股而统计的个股关注度数据基础上,采用关注度变动衡量投资者注意力配置变动、个股关注度市场占比衡量市场投资者注意力配置结构,构建基于Carhart四因素模型的投资者注意力配置收益率模型,考察投资者注意力配置对资产定价的影响。实证发现:个股关注度增长率显著正向影响个股收益率,而个股关注度市场占比显著负向影响个股收益率。这表明个股的投资者注意力增长越大,收益率相对更高,即眼球效应;个股的投资者注意力配置在市场中相对更大,其收益率相对更低,即曝光效应。本文从投资者注意力资源的静态存量结构和动态增量变化角度,相对统一地解释了投资者注意力影响资产定价的正反两方面影响。This paper uses the number of users who focus on individual stocks provided by Eastmoneycom as a measurement of investors’attention distribution,increase or decrease of attention representes the changes of investors’attention distribution,attention market share representes the market structure of investors’attention distribution,and builds an attention returns regression model base on Carhart four-factor formula to explore the impact of investor attention on asset pricing.Conclusions are as follows:there is a significant positive correlation between the growth rate and the returns of individual stocks,while the market share is significantly negative correlated with the returns of individual stocks,which means that when investors pay more attention and the returns are relatively higher;the configuration of attention is relatively more,the returns are lower.Based on the static stock structure(exposure effect)and dynamic incremental change(eye investment)of investors’attention resources,we obtain both positive and negative evidence of attention to market returns,and explain the different effects of attention on asset pricing uniformly.

关 键 词：注意力配置 投资者注意 资产定价 曝光效应 眼球投资 

分 类 号：F830[经济管理—金融学]