投资者关注、资产定价与股价同步性研究综述  

A Literature Review of Investor Attention, Asset Pricing and Stock Return Synchronicity

作　　者：肖奇 屈文洲[1] 

机构地区：[1]厦门大学管理学院,福建厦门361005

出　　处：《外国经济与管理》2017年第11期120-137,共18页Foreign Economics & Management

基　　金：福建省自然科学基金项目(2010J06019);国家自然科学基金重点项目(71532012)

摘　　要：投资者关注与股价同步性均是近年来发展迅速的研究课题,但却鲜有文献将二者结合起来研究。基于相关文献,本文提出投资者关注通过影响资产定价,进而改变股价同步性的观点。为此,本文首先综述了投资者关注与资产定价的文献,主要包括:投资者关注的分类与度量、投资者关注与资产定价的相互关系及其内在机制以及基于投资者关注的投资策略研究;其次,对资产定价与股价同步性的研究进行了评述,主要包括:资产定价与股价同步性的学理关系以及股价同步性的形成机理;最后,提出投资者关注通过影响资产定价,进而改变股价同步性的研究框架,为未来将投资者关注与股价同步性结合起来的理论与实证研究提供思路与启发。Investor attention and stock return synchronicity are both research subjects which have developed rapidly in recent years, but there is little literature to combine them together. The level of stock return synchronicity depends on how much company level information can integrate into stock prices, and previous research attempts to explain the degree of company level information integrating into stock prices from the perspective of information dissemination, information transmission and information environment, while ignoring the very important part of information transmission mechanism, that is, as recipients of information, the attention behavior of investor is a necessary condition for the integration of information into stock prices. Based on relevant literature, this paper proposes that investor attention influences stock prices synchronicity through asset pricing. Therefore, this paper firstly summarizes the literature of investor attention and asset pricing in three aspects： （ 1 ）the research of classification and measurement of investor attention mainly includes the differences between full and limited attention, the advantages and disadvantages of measurement of investor attention such as trading volume, search volume and posting amount; （2）the research of the causality between investor attention and asset pricing and its internal mechanism mainly includes the opinion and mechanism of price pressure hypothesis, risk premium hypothesis, over-attention underperformance and irrelevance hypothesis, and then evaluates the four hypotheses; （3）the research of investment strategy based on investor attention includes net buying strategy and hedging strategy based on investor attention. Secondly,the research of asset pricing and stock price synchronicity is reviewed in two aspects： （ 1 ）as for ~the relationship between asset pricing and stock price synchronicity, it discusses the origin and development of stock price synchronicity, and evaluates the academic debate; （2）as for the causes of s

关 键 词：投资者关注 资产定价 股价同步性 

分 类 号：F270[经济管理—企业管理]