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本文基于2007~2015年A股上市公司的相关数据,分别构建投资组合和股票收益的预测指标,研究投资者有限注意影响股票价格的内在机制。研究发现,面对同样的行业利好(利空)消息,股价的反映效率会受公司结构的影响,以此逻辑构建的对冲组合可实现无风险套利。基于此性质进一步建立可预测股票收益的先行指标并进行检验,结果表明:先行指标的预测效果是由投资者有限注意所引起的,不受个股或者行业的影响;并且其预测能力与股票的关注程度、机构投资者占比、盈利水平显著负相关,与公司结构多样性程度显著正相关。
Based on the data of A-share listed companies from 2007 to 2015, this paper constructs forecasting indexes of portfolio and stock returns respectively and studies the internal mechanism of investors’ limited attention on stock prices. The study found that in the face of the same good news from the industry (negative news), the efficiency of stock price reflection will be affected by the structure of the company, and the hedging portfolio constructed by this logic can realize the risk-free arbitrage. Based on this property, we can further establish and test the leading index that predicts the return of the stock. The result shows that the forecasting result of the leading index is caused by the investors’ limited attention, not influenced by the stock or the industry; and its ability of forecasting and stock attention The degree, the proportion of institutional investors and the profitability are significantly and negatively correlated, which are significantly and positively correlated with the degree of corporate structural diversity.