投资者有限关注与限售股解禁

Limited Attention of Investors and the Liquidation of Non-tradable Shares

有限关注是行为金融学的前沿理论,认为在海量信息情况下,散户投资者的决策是有限理性的,倾向于购买引起自己关注的股票。本文选择中国的限售非流通股解禁这一没有任何信息含量的事件,同时选择谷歌历史资讯数量这一更准确的投资者有限关注度量指标,发现投资者关注确实会引起股票的正的回报。同时,投资者情绪这一市场范围变量,会通过有限关注这一机制对不同个股的回报产生不同影响。

Limited attention theory is the frontier of behavior finance,saying that retail investors will make irrational decisions due to information overloading.Using the event of expiration of lock up provisions of non - tradable shares,which has no new information content at all,and using amount of history information of Google as proxy of attention grabbing event,the paper finds that stocks that catch investor attention will have positive returns. Meanwhile,investor sentiment,which is market wide,will affect individual stock returns mediated by investors＇ limited attention.