投资者关注与市场反应——来自中国证券交易所交易公开信息的自然实验  

Investor Attention and Market Reaction: A Natural Experiment Based on Trading Information Disclosure from Stock Exchanges in China

作　　者：刘杰 陈佳[2,3] 刘力 LIU Jie;CHEN Jia;LIU Li(College of Economics,Fujian Agriculture and Forestry University;New Era Research Institute,Peking University;Guanghua School of Management,Peking University)

机构地区：[1]福建农林大学经济学院,福建福州350002 [2]北京大学习近平新时代中国特色社会主义思想研究院,北京100871 [3]北京大学光华管理学院,北京100871

出　　处：《金融研究》2019年第11期189-206,共18页Journal of Financial Research

基　　金：国家自然科学基金(项目批准号:71903030;71403010;71371200)的资助

摘　　要：涨停的股票能否被交易公开信息披露取决于收益率排名中的随机因素,与股票的基本面特征无关。本文利用这一机制设计自然实验检验了投资者关注对股价的影响。实证结果显示交易公开信息披露使股票受到投资者更多的关注,增加了小额资金的净流入,减少了大额资金的净流入和股价的短期收益率,抑制了股价短期波动率,同时降低了股价在长期发生反转的可能性。频繁登上交易公开信息的知名营业部买入的股票受到更多关注,相应的市场反应也更加显著。进一步的研究表明监管性信息披露引发的投资者关注通过降低市场信息不对称抑制了股价反转。The impact of investor attention on asset pricing is critically important for the functioning of stock markets. This paper examines the effects of a type of attention-grabbing event, Trading Information Disclosure from China’s stock exchanges, on investors’ trading behavior and stock price performance.It is difficult to empirically measure the impact of investor attention on stock prices because events that attract attention are often accompanied by the release of other valuable information on listed companies or special events related to them that contain information about the value of stocks. We use a natural experiment setting based on Trading Information Disclosure and upper price limits on China’s stock exchanges. The natural experiment design eliminates confounding factors that occur simultaneously with attention-grabbing events and allows us to cleanly identify the impact of investor attention.The treatment sample includes all A-share listed stocks that hit the upper price limits and were disclosed by Trading Information Disclosure on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2015. The control sample includes all other stocks that hit the upper price limits without being disclosed. The advantage of this setting is that it can eliminate the interference of other factors. The findings of this paper are threefold.(1) The treatment group has a significantly higher Baidu search index and excess turnover ratio during the event period, which indicates that the stocks disclosed under Trading Information Disclosure receive significantly more market attention than stocks in the control group.(2) Compared with the control group, the treatment group obtains more net inflows of small deals but fewer big deals. The treatment group also has lower excess return and idiosyncratic volatility in the short term and lower probability of price reversal in the long term. Further research also indicates that investor attention triggered by Trading Information Disclosure decreases the probability of price revers

关 键 词：投资者关注 市场反应 交易公开信息 

分 类 号：F83[经济管理—金融学]