基于注意力传染机制的股市动量与反转模型研究

doi:10.16381/j.cnki.issn1003-207x.2015.05.005

中国管理科学 ›› 2015, Vol. 23 ›› Issue (5): 32-40.doi: 10.16381/j.cnki.issn1003-207x.2015.05.005

基于注意力传染机制的股市动量与反转模型研究

彭叠峰, 饶育蕾, 雷湘媛

中南大学商学院, 湖南长沙 410083

收稿日期:2013-05-13 修回日期:2014-01-02 出版日期:2015-05-20 发布日期:2015-05-20
作者简介:彭叠峰(1985-),男(汉族),湖南双峰人,中南大学商学院讲师,研究方向:资产定价.
基金资助:
国家自然科学基金资助项目(71301169,71372063)

A Unified Model of Momentum and Reversal in Stock Markets Based on Attention Contagion Mechanism

PENG Die-feng, RAO Yu-lei, LEI Xiang-yuan

Business school, Central South University, Changsha 410083, China

Received:2013-05-13 Revised:2014-01-02 Online:2015-05-20 Published:2015-05-20

摘要/Abstract

摘要： 针对我国股市参与程度低,投资者非理性以及股价暴涨暴跌的基本事实,本文在一个简单的定价模型中刻画了新投资者参与市场背后的注意力传染机制,发现投资者关注在资产价格形成过程中扮演双重角色:一方面投资者的有限关注导致价格对信息反应不足,引起收益动量;另一方面,关注投资者通过注意力传染机制诱导无经验的正反馈交易者进入市场,导致收益反转。因此,注意力传染机制的引入合理地解释了股票动量效应与反转效应并存的事实,对于理解在成熟市场与新兴市场中投资者关注定价效应的差异具有重要意义。

关键词: 投资者关注, 社会传染, 有限市场参与, 动量效应, 反转效应

Abstract: Low participation, irrational investment, and high volatility of stock prices are considered to be typical in China stock market. According to the abovementioned stylized facts, we describe a attentional contagion mechanism underlying the inflow of new investors in a simple asset pricing model and find that that investor attention plays a dual role in the formation of asset prices. On one hand, the limited attention of investors causes the under-reaction to information and price momentum. On the other hand, the attentive investors induce the inexperienced positive-feedback investors to participate the market, which brings about return reversal. As a result, the introduction of attentional contagion mechanism explains the co-existence of momentum and reversal, which sheds light on the understanding of the seperated pricing effects of investor attention on developed and emerging stock markets around the world.

Key words: investor attention, social contagion, limited market participation, momentum, reversal

中图分类号:

F830.91

彭叠峰, 饶育蕾, 雷湘媛. 基于注意力传染机制的股市动量与反转模型研究[J]. 中国管理科学, 2015, 23(5): 32-40.

PENG Die-feng, RAO Yu-lei, LEI Xiang-yuan. A Unified Model of Momentum and Reversal in Stock Markets Based on Attention Contagion Mechanism[J]. Chinese Journal of Management Science, 2015, 23(5): 32-40.

参考文献

[1] Andrade S C, Bian Jiangze, Burch T R. Analyst coverage, information, and bubbles[J]. Journal of Financial and Quantitative Analysis, 2013,48(5):1573-1605.

[2] Brennan M J. How did it happen?[J]. Economic Notes, 2004, 33(1): 3-22.

[3] Xiong Wei, Yu Jialin. The Chinese warrants bubble[J]. The American Economic Review, 2011, 101(6): 2723-2753.

[4] Gong Binglin, Pan Deng, Shi Donghui, et al. New investors and bubbles: An analysis of the baosteel call warrant bubble[R]. Working Paper, Fudan University, 2011.

[5] Xie Huan, Zhang Jipeng. Bubbles and experience: An experiment with a steady inflow of new traders[R]. Working Paper,CIRANO,2012.

[6] 陈其安, 高国婷, 陈慧. 基于个人投资者过度自信的中国股票市场定价模型[J]. 中国管理科学, 2011, 19(4): 38-46.

[7] Rouwenhorst K G. International momentum strategies[J]. The Journal of Finance, 1998, 53(1): 267-284.

[8] Baytas A, Cakici N. Do markets overreact: International evidence[J]. Journal of Banking & Finance, 1999, 23(7): 1121-1144.

[9] Barberis N, Shleifer A, Vishny R. A model of investor sentiment[J]. Journal of financial economics, 1998, 49(3): 307-343.

[10] Daniel K, Hirshleifer D, Subrahmanyam A. Investor psychology and security market under‐and overreactions[J]. the Journal of Finance, 1998, 53(6): 1839-1885.

[11] Hong H, Stein J C. A unified theory of underreaction, momentum trading, and overreaction in asset markets[J]. The Journal of Finance, 1999, 54(6): 2143-2184.

[12] Hou Kewei, Peng Lin, Xiong Wei. A tale of two anomalies: The implications of investor attention for price and earnings momentum[R].Working Paper, Available at SSRN 890875, 2008.

[13] Hirshleifer D, Lim S S, Teoh S H. Limited investor attention and stock market misreactions to accounting information[J]. Review of Asset Pricing Studies, 2011, 1(1): 35-73.

[14] DellaVigna S, Pollet J M. Investor inattention and Friday earnings announcements[J]. The Journal of Finance, 2009, 64(2): 709-749.

[15] Hirshleifer D, Lim S S, Teoh S H. Driven to distraction: Extraneous events and underreaction to earnings news[J]. The Journal of Finance, 2009, 64(5): 2289-2325.

[16] 权小锋, 吴世农. 投资者关注, 盈余公告效应与管理层公告择机[J]. 金融研究, 2010 (11): 90-107.

[17] Cohen L, Frazzini A. Economic links and predictable returns[J]. The Journal of Finance, 2008, 63(4): 1977-2011.

[18] 饶育蕾, 彭叠峰, 贾文静. 交叉持股是否导致收益的可预测性?——基于有限注意的视角[J]. 系统工程理论与实践, 2013, 33(7): 1753-1761.

[19] Cohen L, Lou Dong. Complicated firms[J]. Journal of financial economics, 2012, 104(2): 383-400.

[20] Louis H, Sun A. Investor inattention and the market reaction to merger announcements[J]. Management Science, 2010, 56(10): 1781-1793.

[21] Mankiw N G, Zeldes S P. The consumption of stockholders and nonstockholders[J]. Journal of Financial Economics, 1991, 29(1): 97-112.

[22] Bucks B K, Kennickell A B, Mach T L, et al. Changes in US family finances from 2004 to 2007: Evidence from the survey of consumer finances[R].Federal Reserve Bulletin,2009,(95):1-56.

[23] Greenwood R, Nagel S. Inexperienced investors and bubbles[J]. Journal of Financial Economics, 2009, 93(2): 239-258.

[24] De Long J B, Shleifer A, Summers L H, et al. Positive feedback investment strategies and destabilizing rational speculation[J]. The Journal of Finance, 1990, 45(2): 379-395.

[25] Shive S. An epidemic model of investor behavior[J]. Journal of Financial and Quantitative Analysis, 2010, 45(1): 169.

[26] 饶育蕾, 彭叠峰, 成大超. 媒体注意力会引起股票的异常收益吗?——来自中国股票市场的经验证据[J]. 系统工程理论与实践, 2010,(2): 287-297.

[27] 张雅慧, 万迪昉, 付雷鸣. 股票收益的媒体效应: 风险补偿还是过度关注弱势[J]. 金融研究, 2011,(8): 143-156.

[28] 权小锋, 洪涛, 吴世农. 选择性关注, 鸵鸟效应与市场异象[J]. 金融研究, 2012,(3): 109-123.

基于注意力传染机制的股市动量与反转模型研究

A Unified Model of Momentum and Reversal in Stock Markets Based on Attention Contagion Mechanism

PDF (PC)

可视化

被引次数

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 10

Metrics

本文评价

推荐阅读 10

[1]	白兰,魏宇. 投资者公共卫生事件关注度与我国行业股票市场信息溢出效应研究[J]. 中国管理科学, 2024, 32(1): 54-64.
[2]	康文津, 章康. 中国A股市场流动性冲击与股票回报率关系研究[J]. 中国管理科学, 2023, 31(7): 68-77.
[3]	蔡文武, 陆静, 赵宇洋. 不同市场行情下投资者关注频率对交易驱动的非对称性影响[J]. 中国管理科学, 2023, 31(4): 11-25.
[4]	瞿慧, 沈微. 引入投资者关注的中国股市协方差预测——基于多元HAR类模型[J]. 中国管理科学, 2022, 30(7): 9-19.
[5]	林娟娟, 唐勇, 周小亮, 朱鹏飞. 北上资金、百度指数与股市关联性的时频域研究——基于协高阶矩视角[J]. 中国管理科学, 2022, 30(1): 20-31.
[6]	瞿慧, 沈微. 基于LSTHAR模型的投资者关注对股市波动影响研究[J]. 中国管理科学, 2020, 28(7): 23-34.
[7]	张同辉, 苑莹, 曾文. 投资者关注能提高市场波动率预测精度吗？——基于中国股票市场高频数据的实证研究[J]. 中国管理科学, 2020, 28(11): 192-205.
[8]	向诚, 陆静. 本地投资者有信息优势吗?基于百度搜索的实证研究[J]. 中国管理科学, 2019, 27(4): 25-36.
[9]	邵鹏. 消费者网络对试用产品的“商家-平台”合作机制的影响[J]. 中国管理科学, 2016, 24(2): 76-83.
[10]	张莉, 邓礼英, 周勇. 半参数alpha策略的反转效应研究[J]. 中国管理科学, 2016, 24(12): 30-38.