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  本文選題：有限關(guān)注 + 漲跌排行效應(yīng)�。� 參考：《南京財經(jīng)大學(xué)》2013年碩士論文

【摘要】：有限關(guān)注是行為金融學(xué)的新興理論，，認為投資者在眾多繁雜信息的情況下，在不同的事物上分配有限的認知資源，因此在進行投資決策時是有限理性的，投資者一般傾向于購買引起自己關(guān)注的股票。近年來國內(nèi)外學(xué)者對有限關(guān)注理論進行了大量的研究。股市每日漲跌幅排行榜作為一種低成本且易得的信息來源，通常會吸引投資者的有限注意力。 本文首先對有限關(guān)注理論、股市漲跌排行榜以及股票收益的內(nèi)在作用機制進行了探討和理論分析。預(yù)計在股市漲跌幅排行榜公布后，排行榜上靠前的股票受到投資者的更多關(guān)注，在未來的某些交易日綜合收益會比排行榜上排名靠后的股票高，即存在漲跌幅排行榜效應(yīng)。本文所采用的數(shù)據(jù)為深A(yù)股市數(shù)據(jù)，均來自于銳思數(shù)據(jù)庫，樣本時間跨度是2009年1月至2011年8月，通過對實驗數(shù)據(jù)的檢驗，證實了漲幅排行效應(yīng)的存在。另外，本文以投資者關(guān)注度為基礎(chǔ)，選定基礎(chǔ)日，同時控制行業(yè)之間的差別，構(gòu)建考察股票組合。驗證了關(guān)注度高的股票組合在未來的某些交易日收益會高于關(guān)注度比較低的股票組合。 本文的研究結(jié)論是：受投資者有限注意力的影響，會產(chǎn)生漲跌幅排行榜效應(yīng)，并且在有限關(guān)注度的差異下，漲幅排行榜效應(yīng)比較明顯，跌幅排行榜效應(yīng)則不明顯。進一步的研究表明，投資者對同一行業(yè)的不同股票產(chǎn)生的關(guān)注度差異會影響投資者的決策，使得投資者的注意力驅(qū)動交易行為產(chǎn)生差異，導(dǎo)致同一行業(yè)關(guān)注度高的股票收益高于關(guān)注度低的股票。同時，本文的研究發(fā)現(xiàn)公司市值大小對投資者的注意力驅(qū)動交易影響并不明顯，而投資者情緒對投資者的注意力驅(qū)動交易有明顯影響；用投資者關(guān)注度、換手率和投資者情緒作為解釋變量，能夠很好的解釋收益差，說明投資者有限關(guān)注下的投資行為是異常收益產(chǎn)生的重要原因。
[Abstract]:Limited attention is a new theory of behavioral finance, which holds that investors allocate limited cognitive resources in different things under the circumstances of numerous and complicated information, so they are limited rational in making investment decisions. Investors tend to buy stocks that attract their attention. In recent years, scholars at home and abroad have done a lot of research on the theory of limited attention. As a low-cost and easily accessible source of information, the daily stock index usually attracts limited attention from investors. In this paper, the theory of limited attention, the stock market index and the internal mechanism of stock returns are discussed and analyzed theoretically. Investors are expected to pay more attention to the top stocks after the stock index is published, and the combined earnings will be higher than those at the bottom in some future trading days, which means that there will be a ranking effect. The data used in this paper are all from the Reese database. The time span of the sample is from January 2009 to August 2011. Through the test of the experimental data, the existence of the effect of increase ranking is confirmed. In addition, based on the investor's attention, this paper selects the basis day and controls the differences between industries to construct the stock portfolio. It is verified that the portfolio with high attention will have higher returns in some future trading days than the portfolio with lower focus. The conclusion of this paper is that due to the limited attention of investors, there will be a rise and fall list effect, and under the limited attention, the effect of increase list is obvious, but the effect of decline list is not obvious. Further studies have shown that investors' attention to different stocks in the same industry will affect investors' decisions and make investors' attention drive trading behavior different. The stock returns of the same industry with high attention are higher than those with low attention. At the same time, the study of this paper found that the size of market value does not have a significant impact on attention-driven trading, but investor sentiment has a significant impact on attention-driven trading. As explanatory variables, turnover rate and investor sentiment can well explain the difference of returns, which shows that investors' investment behavior under limited concern is an important reason for abnormal returns.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：2054708