投资者注意力与过度自信对左尾反转的增益效应——基于我国A股数据的实证研究  

The Gain Effects of Investors′Attention and Overconfidence on the Left-tail Reversal Performance:An Empirical Study based on A-share Data in China

作　　者：王军[1] 宋秀娜 孔晓旭 WANG Jun;SONG Xiu-na;KONG Xiao-xu(School of Economics,Capital University of Economics and Business,Beijing 100071, China)

机构地区：[1]首都经济贸易大学经济学院,北京100071

出　　处：《商业研究》2020年第12期21-30,共10页Commercial Research

基　　金：国家自然科学基金项目,项目编号:11861042;国家自然科学基金青年项目,项目编号:72002141。

摘　　要：本文基于我国2004年12月—2019年9月沪深A股市场数据,以个股异质性波动率调整的在险价值作为左尾风险代理变量,分析我国A股市场上左尾反转或动量效应的存在性,并进一步讨论投资者注意力与过度自信水平与策略收益之间的关系。实证结果表明:我国A股市场上存在显著的左尾反转效应,即个股左尾风险与其未来中短期收益正相关;投资者注意力对左尾反转效应有显著的负向影响,投资者配置的注意力越多,反转收益越低;投资者过度自信水平对左尾反转效应有显著的正向影响,投资者过度自信程度越高,反转收益越高;投资者注意力与过度自信水平之间存在交互影响,过度自信对股票左尾反转效应的影响,会随着配置给股票注意力的增加而削弱。有限注意力的客观存在,导致投资者对信息出现非匀质化关注,使股票价格波动呈现规律性。过度自信对私人信号具有放大效应,会增强股票价格变动规律的显著性。同时,注意力的增加会纠正投资者对私人信号过度自信的行为偏差。Based on the data of Shanghai and Shenzhen A-share market from December 2004 to September 2019,this paper analyzes the existence of left-tail reversal or momentum effect in China′s A-share market by taking the value at risk adjusted by individual stocks′heterogeneous volatility as the proxy variable of left-tail risk,and further discusses the relationship between investors′attention,overconfidence and strategic returns.The empirical results show that:there is a significant left-tail reversal effect in China′s A-share market,that is,the left-tail risk of individual stocks is positively correlated with their future medium and short-term returns;investors′attention has a significantly negative impact on left-tail reversal effect:the more attention investors allocate,the lower the reversal return;the level of investors′overconfidence has a significantly positive impact on the left-tail reversal effect:the higher the degree of investor overconfidence,the higher the reversal return;there is an interaction between investors′attention and overconfidence level:the influence of overconfidence on the left tail reversal effect of stocks will weaken with the increase of attention allocated to stocks.The objective existence of limited attention leads to investors′non-uniform attention to information and makes the stock price fluctuate regularly.Overconfidence has amplification effect on private signal,and can enhance the significance of stock price change.At the same time,the increase of attention will correct the behavior bias of investors′overconfidence in private signals.

关 键 词：投资者注意力 过度自信 左尾反转效应 调整在险价值 

分 类 号：F832.5[经济管理—金融学]