摘要
本文首次使用东方财富网Choice数据终端中股票被纳入自选股的数量作为成熟投资者关注度的度量,选取主板、中小板及创业板指数成分股票作为样本,采用面板回归的方法研究投资者关注度对资产定价的影响。实证结果显示:投资者关注度的提升会使得股票价格在当期产生向上动力,从而对股票当期收益率有正向冲击;与现有研究结论不同,这种正向冲击在后期不会反转,而是呈现快速衰减态势;投资者关注度对不同层次资本市场的影响不同,具体而言,投资者关注度对股票收益的影响大小排序为:创业板>中小板>上证主板。
This paper uses ＂stocks attention＂ in the Choice database as a measure of sophisticated investors＇ attention for the first time, with selecting main board. SME board and GEM board as samples, and using panel regression method to study the impact of investor attention on asset prices. The empirical results show： Enhancement of investor attention will generate upward momentum of stock price in current period, thereby engendering a positive impact on current stock yield. Different from the existing conclusions, this positive impact will not be reversed at a later stage, but show a rapid decay trend. Effects of investor attention on different levels of capital markets are different, in particular, the order of effects of investor attention on stock yield is： GEM board 〉 SME board 〉 SSE main board.
出处
《投资研究》
2016年第9期144-157,共14页
Review of Investment Studies
