投资者概念关注对股票收益的影响研究—基于百度搜索数据

Effect of Investors’Attention to the Concept on Stock Return—Empirical Evidence Based on Baidu Search

我国股票市场存在明显的概念炒作现象,扭曲了市场的良性定价机制。本文基于有限注意视角揭示投资者概念关注对股票收益的影响机制,使用百度搜索数据衡量投资者概念关注,以“一带一路”、“5G”和“PM2.5”概念板块的股票为研究样本进行实证研究。结果表明:在控制了Fama-French三因素以及投资者个股关注情况下,投资者概念关注对所属概念板块的股票收益有显著正向影响,但这种影响作用会在随后几期反转为负向影响。投资者个股关注一方面会强化投资者概念关注对股票收益的正向影响,另一方面投资者个股关注越高,个股的流动性就越强,从而会弱化投资者概念关注对股票收益影响作用的反转效应。研究结论丰富了投资者关注的理论研究,为抑制概念炒作提供理论依据和实现途径。

There is an obvious conceptual speculation in China’s stock market,which distorts the benign pricing mechanism of the market.Based on the perspective of limited attention,this paper reveals the formation mechanism of investor attention to the concept and its influence on stock return.Baidu search data is used to measure investor attention to the concept,and the stocks of“One Belt and One Road”,“5G”and“PM2.5”conceptual plates are used as research samples for empirical research.The results show that under the control of the three factors of Fama-French model and the investor attention to individual stock,investor attention to the concept has a significant positive effect on the stock return,but the effect turns negative in subsequent periods.On one hand,the investor attention to individual stock will strengthen the positive effect of the investor attention to the concept on the stock return.On the other hand,because the higher the investor attention to individual stock,the stronger the liquidity of the stock,so it will weaken the reversal effect of the influence of the investor attention to the concept on the stock return.The conclusion enriches the theoretical research of investor attention and provides a theoretical basis and a practical approach to restraining conceptual speculation.