投资者注意力、资产定价与内部人自利择机
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外国经济与管理 2015 年 第 37 卷第 04 期, 页码：
摘要
参考文献
摘要
根据传统的“信息含量”（information content）理论，股票信息一旦进入市场就会立即被股价所充分吸收。但事实上，资本市场中任何信息要引起股价的反应首先要引起投资者的注意。长期以来，金融甚至行为金融的研究忽视了这个客观事实和前提条件。本文首先从认知心理学的角度出发，以投资者注意力的分配作为切入点，对投资者注意力与投资者交易行为、资产定价及内部人自利择机之间的关系进行了文献梳理和述评。综合来看，投资者注意力的研究拓展了行为金融的分析视角，引发投资者注意力与资产价格变动、投资者注意力与投资者交易行为，以及投资者注意力与内部人的财务行为等的研究。因此，深化投资者注意力的研究具有很高的理论价值和现实意义。
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［2］Bae KH and Wang W. What’s in a “China”name? A test of investor attention hypothesis［J］.Financial Management，2012，41（2）：429-455.
［3］Barber B M and Odean T. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors［J］.Review of Financial Studies 2008，21(2):785-818.
［4］Bradshaw M T and Sloan R G. GAAP versus the street:An empirical assessment of two alternative definitions of earnings［J］.Journal of Accounting Research，2002，40(1):41-66.
［5］Damodaran A. The weekend effect in information releases:A study of earnings and dividend announcements［J］.Review of Financial Studies，1989,2(4):607-623.
［6］DellaVigna S and Pollet J M. Investor inattention and Friday earnings announcements［J］.Journal of Finance,2009,64(2):709-749.
［7］Doyle J T,et al. The predictive value of expenses excluded from pro forma earnings［J］.Review of Accounting Studies，2003,8:145-174.
［8］Doyle J T and Magilke M J. The timing of earnings announcements: An examination of the strategic disclosure hypothesis［J］.The Accounting Review,2009，84(1)：157-182.
［9］Engelberg J，et al. Market madness? The case of mad money［J］.Management Science,2012,58(2):351-364.
［10］Hirshleifer D and Teoh S H. Limited attention，information disclosure and financial reporting［J］.Journal of Accounting and Economics，2003,36(3):337-386.
［11］Hirshleifer D，et al. Do investors value balance sheet bloat?［J］.Journal of Accounting and Economics，2004,38(1):297-331.
［12］Hirst D E and Hopkins P E. Comprehensive income reporting and analysts’ valuation judgments［J］.Journal of Accounting Research，1998,36:47-75.
［13］Huberman G and Regev T. Contagious speculation and a cure for cancer［J］.Journal of Finance，2001,56(1):387-396.
［14］Huddart S，et al. Volume and price patterns around a stock’s 52week highs and lows:Theory and evidence［J］.Management Science,2009,55(1):16-31.
［15］Jensen M C. The agency costs of overvalued equity and the current state of corporate finance［J］. European Financial Management，2004,10:549-565.
［16］Jensen M C. Agency costs of overvalued equity［J］.Financial Management，2005，34:5-19.
［17］Jin J Y. Investor attention and stock mispricing［J］.Accounting Perspectives,2004,13(2)：123-147.
［18］Kahneman D. Attention and effort［M］.Englewood Cliffs，NJ:PrenticeHall，1973.
［19］Karlsson N. The ostrich effect: Selective attention to information［J］.Journal of Risk Uncertain，2009,38:95-115.
［20］Kita A and Wang Q. Investor attention and FX market volatility［R］.working paper，2013.
［21］Lee C. Investor sentiment and the closedend fund puzzle［J］.The Journal of Finance，1991，46(1):75-109.
［22］Loh R K. Investor inattention and the underreaction to stock recommendations［J］.Financial Management，2010,39(3):1223-1252.
［23］Peng L. Learning with information capacity constraints［J］.Journal of Financial and Quantitative Analysis，2005,40(2):307-329.
［24］Peng L and Xiong W. Investor attention，overconfidence，and category learning［J］.Journal of Financial Economics ,2006,80(3):563-602.
［25］Peng L,et al. Investor attention and timevarying comovements［J］.European Financial Management,2007,13(3):394-422.
［26］Povel P，et al. Booms，Busts and Fraud［J］.Review of Financial Studies，2007，20(4):1219-1254.
［27］Savor P G and Lu Q. Do stock mergers create value for acquirers?［J］.Journal of Finance，2009，64:1061-1097.
［28］Seasholes M S and Wu G. Predictable behavior，profits，and attention［J］.Journal of Empirical finance，2007,14(5):590-610.
［29］Shleifer A and Vishny R W. Stock market driven acquisitions［J］.Journal of Financial Economics，2003，70:295-311.
［30］Sims C A. Implications of rational inattention［J］.Journal of Monetary Economics，2003,50:665-690.
［31］Vozlyublennaia N. Investor attention，index performance，and return predictability［J］.Journal of Banking & Finance，2014,41(4):17-35.
［32］Wilson R and Keil F C. The MIT encyclopedia of the cognitive sciences［M］.Cambridge，MA: The MIT Press,2001.
［33］Wu C H，et al. Limited attention and annual earnings announcements［J］.Academic Economic Papers，2010,38(3):413-457.
［34］李小晗，张鸣.投资者注意力和应计异象［J］.中国会计与财务研究，2011,13（3）：108-187.
引用本文
权小锋, 尹洪英. 投资者注意力、资产定价与内部人自利择机[J]. 外国经济与管理, 2015, 37(4): 0.
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