摘要
有限关注是行为金融学中的前沿理论。当投资者面对海量信息时,由于时间、精力、知识和能力等限制,投资者只能选择性地关注部分信息,有限关注成为必然。基于有限关注视角,可探究其对IPO限售股解禁公告后股价变化的影响。研究发现:中国证券市场存在IPO限售股解禁公告后的股价漂移现象;投资者关注IPO限售股解禁公告后股价的即期反应和滞后反应均显著正相关,且第二次解禁中投资者关注对股价漂移的影响更大。
Limited attention is one of the leading theory in behavioral finance.Due to limitation of the time,the knowledge the ability,and other things,the investors have to choose the aspect they value mostly to follow when there are lots of messages in front of them.Therefore,limited attention is inevitable.This article studies the influence between the IA and the price after the desterilization of non-tradable shares based on the limited attention theory. Research shows that the price drift really exists in China＆#39;s securities market as the IPO restricted stocks are re-lieved;the investors＆#39;attentions have a positive correlation with price response either at sight or on lag,and may have a greater influence on the second release as well.
出处
《首都经济贸易大学学报》
2015年第3期24-30,共7页
Journal of Capital University of Economics and Business
关键词
有限关注
IPO
限售股解禁
股价漂移
limited attention
IPO
desterilization of restricted shares
share price drift
