涨停板的广告效应与过度关注弱势研究  

The Study on Advertising Effect of Limit-up and Over-attention Underperformance

作　　者：王燕鸣[1] 吴晶[1] 

机构地区：[1]中山大学岭南学院,广东广州510275

出　　处：《现代财经（天津财经大学学报）》2015年第2期69-80,共12页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：本文利用沪深股票交易所1997至2013年交易数据,从投资者关注的角度对涨停板的"广告效应"及过度关注弱势假说进行研究。通过实证研究发现我国股票涨停板存在"广告效应",涨停股票能够吸引投资者的注意,而且涨停的次数越多,对投资者注意力吸引越大;在考虑了投资者异质信念和股票流动性的影响后,涨停股票仍然有显著为负的事后累计超额收益,基本符合行为金融理论的"过度关注弱势"假说。Using 1997-2013 transaction data from Shanghai and Shenzhen Stock Exchange,this paper studies the advertising effect of limit-up and over-attention underperformance from the perspective of investors＇ concern.The empirical study shows that there is an advertising effect for limitup and limit-up stock can draw investors＇ attention.The more frequent limit-up is,the more attention investors pay.Taking into consideration heterogeneous beliefs and stock liquidity,we find that limit-up stocks still have cumulative abnormal return which justifies the hypothesis of over-attention underperformance.

关 键 词：涨停板 广告效应 过度关注弱势 

分 类 号：F832.5[经济管理—金融学]