有限关注与股票市场表现

Limited Attention and Stock Market Performance

本文选取股票代码日百度指数作为投资者关注度的衡量指标,实证分析了投资者有限关注与个股市场表现之间的关系。结果显示:投资者的关注会对个股交易量、换手率等市场交易指标带来正的影响;进一步,投资者的关注会造成股票当期收益的溢价,其滞后期则出现反转效应。

Selecting stock code-baidu index as a measure of investors＇ attention, the author empirical analyzed the relationship between the investors＇ limited attention and individual stock performance. The results showed that investors＇ attention to stock market indexes such as volume, turnover rate brings positive effect; Furthermore, investors＇ attention will cause current stock earnings premium while its lag period generated reversal effect.