發(fā)布時間：2018-10-29 15:26

【摘要】：基于認知心理學視角,本文研究了投資者對于信息的選擇性關注程度對市場異象的影響效應,并在不同的市場態(tài)勢下檢驗了這種影響效應的動態(tài)變化。研究發(fā)現(xiàn):(1)投資者關注顯著影響股票的橫截面收益,其中價格反轉收益與投資者關注顯著正相關,而盈余慣性收益與投資者關注顯著負相關;(2)基于投資者關注的認知狀態(tài)差異,我國資本市場存在"鴕鳥效應",即價格反轉收益在牛市比熊市更強,而盈余慣性收益在熊市比牛市更強。本文的研究結論證實了"投資者關注"假設,為投資者和監(jiān)管層了解市場異象形成的關鍵驅動因素及其形成機理提供幫助。
[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.
【作者單位】： 蘇州大學東吳商學院;廈門大學管理學院;
【基金】：國家自然科學基金青年項目(項目編號:71002039、71102059、71102058)資助
【分類號】：F224;F832.51

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本文編號：2298077