选择性关注、鸵鸟效应与市场异象
发布时间：2018-10-29 15:26
【摘要】：基于认知心理学视角,本文研究了投资者对于信息的选择性关注程度对市场异象的影响效应,并在不同的市场态势下检验了这种影响效应的动态变化。研究发现:(1)投资者关注显著影响股票的横截面收益,其中价格反转收益与投资者关注显著正相关,而盈余惯性收益与投资者关注显著负相关;(2)基于投资者关注的认知状态差异,我国资本市场存在"鸵鸟效应",即价格反转收益在牛市比熊市更强,而盈余惯性收益在熊市比牛市更强。本文的研究结论证实了"投资者关注"假设,为投资者和监管层了解市场异象形成的关键驱动因素及其形成机理提供帮助。
[Abstract]:From the perspective of cognitive psychology, this paper studies the influence of investors' selective attention to information on market anomalies, and examines the dynamic changes of this effect in different market situations. The results are as follows: (1) investors pay attention to the cross-sectional returns of stocks, in which price inversion returns are significantly positively correlated with investors' concerns, while earnings inertia returns are negatively correlated with investors' concerns; (2) the ostrich effect exists in the capital market of our country based on the difference of cognition state concerned by investors, that is, the return of price reversal is stronger in the bull market than in the bear market, and the surplus inertia return is stronger in the bear market than in the bull market. The conclusion of this paper confirms the hypothesis of "investor concern" and provides help for investors and regulators to understand the key driving factors and the formation mechanism of market anomalies.
【作者单位】： 苏州大学东吴商学院;厦门大学管理学院;
【基金】：国家自然科学基金青年项目(项目编号:71002039、71102059、71102058)资助
【分类号】：F224;F832.51
本文编号：2298077
[Abstract]:From the perspective of cognitive psychology, this paper studies the influence of investors' selective attention to information on market anomalies, and examines the dynamic changes of this effect in different market situations. The results are as follows: (1) investors pay attention to the cross-sectional returns of stocks, in which price inversion returns are significantly positively correlated with investors' concerns, while earnings inertia returns are negatively correlated with investors' concerns; (2) the ostrich effect exists in the capital market of our country based on the difference of cognition state concerned by investors, that is, the return of price reversal is stronger in the bull market than in the bear market, and the surplus inertia return is stronger in the bear market than in the bull market. The conclusion of this paper confirms the hypothesis of "investor concern" and provides help for investors and regulators to understand the key driving factors and the formation mechanism of market anomalies.
【作者单位】： 苏州大学东吴商学院;厦门大学管理学院;
【基金】：国家自然科学基金青年项目(项目编号:71002039、71102059、71102058)资助
【分类号】：F224;F832.51
【相似文献】
相关硕士学位论文 前1条
1 屠嘉;社会责任与公司股票市场表现[D];西南交通大学;2008年
，本文编号：2298077
本文链接：https://www.wllwen.com/jingjilunwen/guojijinrong/2298077.html
