股市涨跌排行榜效应和投资者有限关注行为研究

发布时间：2018-06-22 23:35

本文选题：有限关注 + 涨跌排行效应　；参考：《南京财经大学》2013年硕士论文

【摘要】：有限关注是行为金融学的新兴理论，，认为投资者在众多繁杂信息的情况下，在不同的事物上分配有限的认知资源，因此在进行投资决策时是有限理性的，投资者一般倾向于购买引起自己关注的股票。近年来国内外学者对有限关注理论进行了大量的研究。股市每日涨跌幅排行榜作为一种低成本且易得的信息来源，通常会吸引投资者的有限注意力。本文首先对有限关注理论、股市涨跌排行榜以及股票收益的内在作用机制进行了探讨和理论分析。预计在股市涨跌幅排行榜公布后，排行榜上靠前的股票受到投资者的更多关注，在未来的某些交易日综合收益会比排行榜上排名靠后的股票高，即存在涨跌幅排行榜效应。本文所采用的数据为深A股市数据，均来自于锐思数据库，样本时间跨度是2009年1月至2011年8月，通过对实验数据的检验，证实了涨幅排行效应的存在。另外，本文以投资者关注度为基础，选定基础日，同时控制行业之间的差别，构建考察股票组合。验证了关注度高的股票组合在未来的某些交易日收益会高于关注度比较低的股票组合。本文的研究结论是：受投资者有限注意力的影响，会产生涨跌幅排行榜效应，并且在有限关注度的差异下，涨幅排行榜效应比较明显，跌幅排行榜效应则不明显。进一步的研究表明，投资者对同一行业的不同股票产生的关注度差异会影响投资者的决策，使得投资者的注意力驱动交易行为产生差异，导致同一行业关注度高的股票收益高于关注度低的股票。同时，本文的研究发现公司市值大小对投资者的注意力驱动交易影响并不明显，而投资者情绪对投资者的注意力驱动交易有明显影响；用投资者关注度、换手率和投资者情绪作为解释变量，能够很好的解释收益差，说明投资者有限关注下的投资行为是异常收益产生的重要原因。
[Abstract]:Limited attention is a new theory of behavioral finance, which holds that investors allocate limited cognitive resources in different things under the circumstances of numerous and complicated information, so they are limited rational in making investment decisions. Investors tend to buy stocks that attract their attention. In recent years, scholars at home and abroad have done a lot of research on the theory of limited attention. As a low-cost and easily accessible source of information, the daily stock index usually attracts limited attention from investors. In this paper, the theory of limited attention, the stock market index and the internal mechanism of stock returns are discussed and analyzed theoretically. Investors are expected to pay more attention to the top stocks after the stock index is published, and the combined earnings will be higher than those at the bottom in some future trading days, which means that there will be a ranking effect. The data used in this paper are all from the Reese database. The time span of the sample is from January 2009 to August 2011. Through the test of the experimental data, the existence of the effect of increase ranking is confirmed. In addition, based on the investor's attention, this paper selects the basis day and controls the differences between industries to construct the stock portfolio. It is verified that the portfolio with high attention will have higher returns in some future trading days than the portfolio with lower focus. The conclusion of this paper is that due to the limited attention of investors, there will be a rise and fall list effect, and under the limited attention, the effect of increase list is obvious, but the effect of decline list is not obvious. Further studies have shown that investors' attention to different stocks in the same industry will affect investors' decisions and make investors' attention drive trading behavior different. The stock returns of the same industry with high attention are higher than those with low attention. At the same time, the study of this paper found that the size of market value does not have a significant impact on attention-driven trading, but investor sentiment has a significant impact on attention-driven trading. As explanatory variables, turnover rate and investor sentiment can well explain the difference of returns, which shows that investors' investment behavior under limited concern is an important reason for abnormal returns.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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