摘要
本文基于2007~2015年A股上市公司的相关数据,分别构建投资组合和股票收益的预测指标,研究投资者有限注意影响股票价格的内在机制。研究发现,面对同样的行业利好（利空）消息,股价的反映效率会受公司结构的影响,以此逻辑构建的对冲组合可实现无风险套利。基于此性质进一步建立可预测股票收益的先行指标并进行检验,结果表明：先行指标的预测效果是由投资者有限注意所引起的,不受个股或者行业的影响;并且其预测能力与股票的关注程度、机构投资者占比、盈利水平显著负相关,与公司结构多样性程度显著正相关。
Based on the data of A-share listed companies during 2007-2015, the authors of this paper construct the pre- diction indicators of investment portfolio and stock return respectively to analyze the intrinsic mechanism of investor＇s limited attention affecting stock price. It is found that the reaction efficiency of stock price to good or bad news is im- pacted by company structure, and hedge portfolio based on the logic can achieve risk-free arbitrage. According to the above logic, the leading indicators can be constructed to predict stock returns and be tested. The results of the paper show that the prediction effect of the leading indicators is due to the investor＇s limited attention and is not impacted by individual stock or industry, and their prediction ability is negatively related to the attention degree of stock, ratio of institutional investors and profitability level, and positively related to the degree of company structure diversity.
出处
《金融论坛》
CSSCI
北大核心
2016年第11期61-71,共11页
Finance Forum
关键词
有限注意
信息传递
公司结构
股票收益
可预测性
limited attention
information transmission
company structure
stock return
predictability
