投资者关注、资产定价与股价同步性研究综述

A Literature Review of Investor Attention, Asset Pricing and Stock Return Synchronicity

投资者关注与股价同步性均是近年来发展迅速的研究课题,但却鲜有文献将二者结合起来研究。基于相关文献,本文提出投资者关注通过影响资产定价,进而改变股价同步性的观点。为此,本文首先综述了投资者关注与资产定价的文献,主要包括:投资者关注的分类与度量、投资者关注与资产定价的相互关系及其内在机制以及基于投资者关注的投资策略研究;其次,对资产定价与股价同步性的研究进行了评述,主要包括:资产定价与股价同步性的学理关系以及股价同步性的形成机理;最后,提出投资者关注通过影响资产定价,进而改变股价同步性的研究框架,为未来将投资者关注与股价同步性结合起来的理论与实证研究提供思路与启发。

Investor attention and stock return synchronicity are both research subjects which have developed rapidly in recent years, but there is little literature to combine them together. The level of stock return synchronicity depends on how much company level information can integrate into stock prices, and previous research attempts to explain the degree of company level information integrating into stock prices from the perspective of information dissemination, information transmission and information environment, while ignoring the very important part of information transmission mechanism, that is, as recipients of information, the attention behavior of investor is a necessary condition for the integration of information into stock prices. Based on relevant literature, this paper proposes that investor attention influences stock prices synchronicity through asset pricing. Therefore, this paper firstly summarizes the literature of investor attention and asset pricing in three aspects： （ 1 ）the research of classification and measurement of investor attention mainly includes the differences between full and limited attention, the advantages and disadvantages of measurement of investor attention such as trading volume, search volume and posting amount; （2）the research of the causality between investor attention and asset pricing and its internal mechanism mainly includes the opinion and mechanism of price pressure hypothesis, risk premium hypothesis, over-attention underperformance and irrelevance hypothesis, and then evaluates the four hypotheses; （3）the research of investment strategy based on investor attention includes net buying strategy and hedging strategy based on investor attention. Secondly,the research of asset pricing and stock price synchronicity is reviewed in two aspects： （ 1 ）as for ~the relationship between asset pricing and stock price synchronicity, it discusses the origin and development of stock price synchronicity, and evaluates the academic debate; （2）as for the causes of stock price synchronicity, from the perspective of macro and micro levels, the macro level mainly contains property rights protection, institutional building and cultural differences, and micro level mainly contains information dissemination, information transmission and information environment. Based on the above analysis, this paper proposes a framework of information-investor attention-asset pricing-stock price synchronicity. Future study on the relationship between investor attention and stock price synchronicity needs to consider market environment, distinguish types of information and types of investor attention, and nonlinear relationship and interaction mechanism between investor attention and stock price synchronicity. After a literature review of investor attention and stock price synchronicity, we find the main conclusions that most scholars recognize are as follows： （ 1 ） investor attention is a necessary condition for reaction of market, investor attention is helpful to the integration of information into stock prices, and limited and full attention has different effects on asset pricing; （2） in different information environment, the effects of investor attention on asset pricing are different; （3） the focus of asset pricing model is to estimate the risk level of beta, while stock price synchronicity focuses on the interpretation ability of asset pricing model to the real world; （4） stock price synchronicity is affected by factors at macro and micro levels, and at micro level, it is mainly affected by the level of information disclosure, the ability of information publishers to provide company level information, information transparency and the ability of information intermediary to transmit the idiosyncratic information. Finally, this paper puts forward future research prospects to improve measurement of investor attention, the research of the relationship between investor attention and stock price synchronicity under different scenarios, the perspectives of the improvement of industry effect of investor attention and moderators between investor attention and stock price synchronicity, which may help to provide reference and inspiration for future theoretical and empirical research on investor attention and stock price synchronicity.