慕“名”而来的投资偏误--有限关注视角下的实证检验

A name-driven investment bias:An empirical study based on investors' limited attention

注意力是一种稀缺的认知资源[1].通过通顺度、熟悉度、地理和行业信息度、以及产品代表度四个维度构建股票代码的评价体系,发现名称辨识度不同的股票在IPO上市首日收益、IPO后短期持有收益上存在显著的不同.基于投资者有限关注度视角,发现股票名称辨识度通过吸引个人投资者关注对投资收益产生影响,且对个人投资者持股比例高的股票的影响更加显著.交易行为方面,机构投资者会利用个人投资者的有限关注特征,与个人投资者进行反向交易.随着股票交易信息增多,该收益异象和交易异象会随时间推移而转变.研究结果表明,个人投资者的投资行为会受认知局限的影响,而机构投资者会基于个人投资者的有限关注进行交易博弈.

Attention is a scarce cognitive resource.This paper constructs an evaluation system for stock names through four dimensions,namely,smoothness,informativeness,product representativeness,and familiarity.It is found that stocks with different name scores have significantly different IPO first day returns and short-term post-IPO returns.From the perspective of investors’ limited attention,this paper finds that better stock names help to attract individual investors,and this impact is more profound for stocks with high proportion of individual investors.Tests on trading behavior shows that institutional investors take advantage of individual investors’ limited attention and conduct opposite transactions against individual investors.As stock trading information increases,the return and trading anomaly will change over time.This paper shows that the trading behavior of individual investors can be biased by their cognitive limitations,and institutional investors would conduct trading games based on the cognitive biases of individual investors.