中国股票市场突显效应研究  

Research on the Salience Effect in the Chinese Stock Market

作　　者：阳佳余 敬飞艳 

机构地区：[1]南开大学金融学院,天津300350

出　　处：《上海金融》2024年第11期19-30,43,共13页Shanghai Finance

摘　　要：传统资产定价理论假设投资者完全理性,但实际上投资者注意力有限,易受显著性信息影响。本文基于Cosemans和Frehen(2021)对突显理论的研究,选取2000-2022年沪深两市A股上市公司数据,综合股票量、价视角探讨显著性信息对股票预期收益的影响机制。研究证实A股市场中存在突显效应,突显变量与股票预期收益呈负相关关系。投资者通过做多突显变量值最低的股票,做空突显变量值最高的股票,可获得11.53%-15.39%的年价值加权回报率。进一步分析显示,突显效应在套利约束较大、投资者情绪高涨和牛市期间更为显著,并且不能被短期反转效应和注意力假说所解释。Traditional asset pricing theory assumes that investors are fully rational,but in reality investors have limited attention and are susceptible to salient information.Based on Cosemans and Frehen’s(2021)research on the salience theory,this paper selects the data of A-share listed stocks on the Shanghai and Shenzhen stock exchanges from 2000 to 2022,and explores the mechanism by which salient information affects stock expected returns from the perspective of stock volume and price.This paper confirms the existence of salience effect in the A-share market and the negative relationship between salience variables and expected stock returns.Investors can take long positions in stocks with the lowest values of salience variables and short positions in those with the highest values,to achieve an annual value-weighted return rate of 11.53%to 15.39%.Further analysis shows that the salience effect is stronger during high arbitrage constraints,high investor sentiment,and bull markets,and cannot be captured by the short-term reversal effect and the attention hypothesis.

关 键 词：突显理论 显著性信息 套利约束 

分 类 号：G11[文化科学] G12G19