投资者关注与最大日收益率异象

Investor Attention and the Max Effect

Bali等研究发现月内最大日收益率能够显著负向预测下月收益,据此提出了最大日收益率异象,并得到世界多国市场证实。基于上证A股2011年至2018年数据对A股最大日收益率异象进行验证,并结合投资者关注理论和投资者彩票偏好理论加以解释。研究发现,博彩型投资者对于具有极端收益、高异质偏度、高异质波动率特征的彩票型股票的偏好是该异象的重要原因。而博彩型投资者参与交易前提是对个股的关注,极端收益作为突出事件能够有效吸引其关注,投资者关注的增加伴随着参与投机的非理性投机者的增多,进而加剧了最大日收益率异象。市场情绪高涨期,博彩型投资者在乐观情绪驱动下更容易冲动地执行买入操作,加大了从关注向交易的转化概率,进而导致关注度对于最大日收益率异象的作用程度更明显。

Bali et al.(2011)found that the maximum daily returns have a negative influence on the next month’s returns and proposed a new anomaly called the MAX effect,the existence of which has been proved in many countries.Based on the Shanghai A shares data from 2011 to 2018,this paper proves the MAX effect exists in Chinese stock markets and explains the anomaly with the investor attention theory and investor’s preference for stocks with lottery-like payoffs.We find that:1)investors’desire to gamble in stocks with characteristics of high MAX,high idiosyncratic skewness and high idiosyncratic volatility is an important cause of the MAX effect.2)Since investors’attention to stocks is a prerequisite for trading activities,the MAX anomaly will be aggravated by the increase of investors’attention accompanied by more irrational buying.In high investor sentiment period,the irrational investors are more impulsive when they make trading decisions for they have more positive expectations of future returns.Therefore,the investor attention’s influence on MAX anomaly will be more pronounced when investor sentiment is high.