摘要
本文使用百度公司提供的上市公司简称搜索量数据来衡量股票受关注的情况,同时结合该数据与中国股票市场的交易数据研究了关注度与股票收益率之间的关系。本文发现高关注度组股票的平均收益率显著地大于低关注度组股票。在控制了规模、换手率、账面市值比与关注度的相互影响后,发现关注度并不能够被这三个解释股票收益率的变量完全包含。作者在注意力对投资行为有影响这一假设下进行Fama-MacBeth回归后,发现关注度变化率不是显著的风险因子,不会系统地影响股票的收益率。
The paper uses search volume of public company＇s names in short form provided by Baidu Co. as a measurement of investors＇ attention. We combined the data above and trading data of stock markets in China to study the relationship between attention and stock retums. The paper finds out that the average return of high -attention stocks is higher than that of low - attention stocks. Also, the paper controls the interactions between attention and three other variables （ size, turnover and book - to - market ratio） and finds that attention is not completely explained by these three variables. In addition, by running Fama - MacBeth regression, we learn that attention is an insignificant risk factor that does not systematically influence stock returns.
出处
《金融研究》
CSSCI
北大核心
2013年第4期183-195,共13页
Journal of Financial Research
基金
国家自然科学基金资助项目"文化价值与外资企业在我国的投资融资决策"(71172028)
自然科学重点项目创新群体项目"行为金融:心理偏差
投资行为与资产定价"(批准号:71021001)的资助
