摘要
从投资者关注的角度,分析不同市场状态下股票价格突破52周(历史)最高价对投资者行为和股票收益影响的实证结果表明,52周(历史)新高事件都能吸引投资者关注,事后交易量显著增大,且牛市下的异常交易量显著大于熊市。排除了动量效应和参考价格对股票收益的影响后,持有期为1~2周的52周(历史)策略都能获得显著为正的超额收益,且在牛市下52周(历史)策略的超额收益率更大。
This paper studies the impact of the 52- week( historical) highest prices on investors' attention and stock return in bull / bear markets. The results show that the 52-week( historical) highest prices could attract the attention of investors,and bring a significantly increase in trading volume. The effects of 52- week( historical) highest prices on investors' attention are greater in the bull market than in the bear one. The 52- week( historical) highest strategy can get significantly positive return and the positive return is significantly higher when the holding period is between 1 to 2 weeks than that of longer than 2weeks.
出处
《金融经济学研究》
CSSCI
北大核心
2015年第4期53-64 85,85,共13页
Financial Economics Research
关键词
52周新高
历史新高
投资者关注
动量效应
52-week high
historical high
investors' attention
momentum effect
