投资者关注度、机构持股与股票收益——基于百度指数的新证据

Investor Attention, Institutional Holding and Stock Return： New Empirical Evidence Based on the Baidu Index

本文利用2006年6月至2010年12月中国上市公司的“百度指数”构建了投资者关注度的周度指标，并通过回归分析发现，投资者关注度对股票的下周持有收益有显著的正面影响，一周后影响即反转，但初始的正面影响在一年内都不能被随后的收益率反转完全抵消。进一步还发现，当机构投资者持股比例越高时，投资者关注度对股票持有收益的短期正面作用就越小，而且一个月后的反转效应也会越明显。研究表明，个人投资者的情绪波动因素是导致关注度效应的主要原因，而机构投资者则有助于市场理性调整并提高市场有效性。

Using search frequency index data from Baidu. corn from June 2006 to March 2011, this paper constructed a weekly measure of investor attention on the net. The empirical test based on this measure shows that investor attention has a significant and positive impact on the stock return in a week. The impact is reserved from the second week on, but the transitory positive impact in the beginning cannot be completely offset by the reversal of stock returns within a year. It is further found in this paper that higher proportion of institutional investors＇ holding yields weaker transitory effect of investor attention on stock return and stronger return reversals after a month. This shows that the individual investors＇ fluctuation of sentiment is the main cause of the short term attention effect, while the institutional investors are helpful for the rational adjustment of the market and the improvement of market efficiency.