投资者有限关注、行业信息扩散与股票定价研究  

Investor limited attention,industrial information diffusion and stock pricing

作　　者：向诚[1] 陆静[1] XIANG Cheng;LU Jing(School of Economics and Business Administration, Chongqing University, Chongqing 400030, Chin)

机构地区：[1]重庆大学经济与工商管理学院

出　　处：《系统工程理论与实践》2018年第4期817-835,共19页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71373296,71232004)~~

摘　　要：本文从理论模型和实证研究两个方面检验了投资者关注度对行业层面信息扩散速度与股票定价过程的影响，发现投资者注意力的有限性导致行业信息在行业内和行业间逐步扩散．行业信息在行业内的逐步扩散，导致同行业内高关注度与低关注度公司股票的收益率呈现出领先滞后现象；行业信息在行业间的逐步扩散，导致蕴含重要市场信息的行业收益率与市场未来收益率显著相关，且其相关程度与行业的受关注度成反比；行业信息的逐步扩散还导致了行业动量效应，买入赢家行业、卖出输家行业股票组合能够获得显著的正向超额收益．This article theoretically and empirically studies the effects of investor limited attention on information diffusion and stock pricing on industry level, and concludes that industrial information diffuses only gradually among investors. Industrial information gradual diffusion causes the return lead-lag effects between stocks with high attention and those with low attention within the same industry. It also leads that industry returns affect future market returns significantly. The less attention is paid to the industry, the more it affects future market returns. Industrial information gradual diffusion also causes industrial momentum. Strategy buying winner industry and selling loser industry correspondingly is significantly profitable.

关 键 词：有限关注 信息扩散 股票定价 动量效应 

分 类 号：F830.91[经济管理—金融学]