涨停板制度、关注度差异与股票横截面收益  

Daily Price Limit System, Differences in Attention and Stock Cross-Section Returns

作　　者：刘艺林 Liu Yilin

机构地区：[1]上海财经大学金融学院

出　　处：《宏观经济研究》2020年第11期19-33,85,共16页Macroeconomics

摘　　要：本文基于中国涨停板制度,指出制度中"四舍五入"规则所产生的股价一分钱差异引发了股票横截面收益的差异。研究发现,同一天达到涨停板的股票中,排名前30%的股票会在次日有更高的收益。涨停股票排名的随机性有效排除了股票基本面的因素,本文认为该现象是由于人们对排名的认知习惯,导致不同排名的涨停股票受到不同程度的关注度引起的。进一步研究发现,机构资金流向会进一步吸引个人投资者跟风行为,强化投资者关注的市场影响,但个人投资者很难从中获益。本文的发现对涨停板制度有了新的认识,对涨停板制度的完善有借鉴意义。Based on China’s daily price limit system,this paper points out that the one-penny difference in stock price caused by the’rounding’rule in the system causes the difference in stock cross-section returns.The study finds that among the stocks that reached the daily upper price limit on the same day,the top 30%of the stocks would have higher returns the next day.The randomness of daily price limit stock rankings effectively eliminates the factor of stock fundamentals.This paper believes that this phenomenon is caused by people’s cognitive habits of rankings,which lead to different degrees of attention to daily price limit stocks in different rankings.Further research finds that the flow of institutional funds will further attract individual investors to follow suit and strengthen the market influence of investors’attention,but it is difficult for individual investors to benefit from it.The findings of this paper have a new understanding of the daily price limit system and have reference significance for the improvement of the daily price limit system.

关 键 词：有限关注 涨跌停制度 股票横截面收益 

分 类 号：F832.51[经济管理—金融学]