摘要
结合传染模型和遗忘曲线的研究,通过建模刻画投资者关注的传染和衰减行为,并以百度指数作为关注度的代理变量对模型进行验证,显示了很好的解释力;进一步分析发现,投资者关注对IPO股票的首日市场表现具有相当显著的影响。首次基于多支股票同日上市的现象实证研究了投资者关注在多支股票间的分配和传染效应,同日上市的股票越多,其市场表现越温和,且相互趋于一致。
Based on epidemic model and forgetting curve, we model the contagion and decay of investor attention before listing and verify the model by using Baidu Index as a proxy for investor attention. We find that investor attention has a significant influence on first day IPO performance. We empirically study the allocation of investor attention among several stocks, and discover that the more stocks go public on the same day, their performance tend to be milder and more similar.
出处
《金融经济学研究》
CSSCI
北大核心
2014年第6期54-63,共10页
Financial Economics Research
基金
国家自然科学基金项目(71171108)
国家自然科学基金项目(71371096)
