投资者注意力和应计异象

Investor Attention and the Accrual Anomaly

本文基于认知心理学领域中关于注意力分配的研究，考察了投资者在不同周历阶段下注意力分配差异对盈余构成（会计应计和现金流量）的定价偏差的影响。本文的结果显示，当投资者注意力分散时，认知资源受到限制，对盈余信息的解读能力降低，导致了对盈余构成的定价偏差，产生了应计异象；而当投资者注意力集中时，认知动机增强，对盈余信息的解读更为透彻，能够对盈余构成正确定价，不存在应计异象。随着基金持股比例的增加，注意力对于信息解读的影响作用减弱，说明发展以基金为首的机构投资者队伍有助于投资者信息解读效率的提高，增强资源配置的有效性。另外，投资者的情绪和心态在不同的市场状态下会出现差异，进而对投资者的注意力分配和认知需要产生影响，投资者注意力对定价偏差的影响作用主要体现在牛市阶段。

Drawing on the research on attention allocation in cognitive psychology, we study the influence on pricing errors of earnings components （accruals and cash flow） of different allocations of investor attention on different days in a weekly cycle. Our findings show that when investors are distracted, their cognitive resources are restrained, and they have lower ability to read earnings information, resulting in pricing errors of earnings components and the accrual anomaly. But when investors focus their attention, they enhance their cognitive motivation, read earnings information more thoroughly, and correctly price earnings components without the accrual anomaly. Also, as a fund＇s shareholding proportion increases, investor attention has a weakening influence on information reading, showing that institutional investors led by funds contribute to improving the information reading efficiency of investors and strengthen the effectiveness of resource allocation. Moreover, investors have different moods and mentalities in different market conditions, and thereby are influenced in respect of attention allocation and cognitive needs. The influence of investor attention allocation on pricing errors is also demonstrated primarily in a bull market.