投资者关注对股市超额收益的影响效应研究——基于不同市值的视角
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摘要
本文选用以股票代码为关键词的网络搜索指数作为投资者关注的代理变量,从不同市值股票市场视角出发,基于面板平滑转换模型研究了投资者关注指数对股市超额收益的影响效应。结果表明:在大小不同市值市场的面板平滑转换模型中,转换变量的位置参数值分别为1. 2473和1. 2271,说明市场风险因素是影响股市表现的主要因素,且小市值股票市场对投资者关注的变动情况更加敏感,这与小市值股票市场中公司的业绩表现和价格走向相对大市值市场来讲稳定性较差等密切相关。
Based on the research direction of this behavioral finance,this paper selects the Internet search index based on stock code as the proxy variable of investor concern. From the perspective of different market value stock market,the results show that the investor concerning index has a positively promoting effect on the excess earnings of the stock market in all market capitalization. In the panel smoothing model of large and small market capitalization market,investors focus on the smooth transformation of the model as the transformation variable,whose position parameter values are 1. 2473 and 1. 2271 respectively. Overall results show that the small value of the stock market for investors to focus on changes in more sensitive,which is colsely relateal to the poor stabilty of company's performance and price trend in the small value market stocks than the large.
Based on the research direction of this behavioral finance,this paper selects the Internet search index based on stock code as the proxy variable of investor concern. From the perspective of different market value stock market,the results show that the investor concerning index has a positively promoting effect on the excess earnings of the stock market in all market capitalization. In the panel smoothing model of large and small market capitalization market,investors focus on the smooth transformation of the model as the transformation variable,whose position parameter values are 1. 2473 and 1. 2271 respectively. Overall results show that the small value of the stock market for investors to focus on changes in more sensitive,which is colsely relateal to the poor stabilty of company's performance and price trend in the small value market stocks than the large.
引文
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[15] Fama,Eugene F. French,Kenneth R. Common Risk Factors in the Returns on Stocks and Bods[J]. Journal of Financial Economics,1993,22(1):3~56.
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[17] J E Zhi Da,Pengjie Gao. In Search of Attention[J]. The Journal of Finance,2011,66(5):1461~1499.
[2] Barberis N,A Shleifer,Vishny. A Model of Investor Sentiment[J]. Journal of Financial Economics,2005,(49):307~343.
[3] Baker M,Wurgler J. Investor Sentiment and the Cross-section of Stock Returns[J]. Jourual of Financial Economic,2012,104(2):272~287.
[4] Anjeza Kadilli. Predictability of Stock Returns of Financial Companies and the Role of Investor Sentiment:A Multi-country Analysis[J]. Toxicology Letters,2015,(21):26~45.
[5] Po-Chin,Shiao-Yen Liu. Re-examining Risk Premiums in the Fama-French Model:The Role of Investor Sentiment[J]. North American Journal of Economics and Finance,2016,36(21):154~171.
[6] Alain Frugier. Returns,Volatility and Investor Sentiment:Evidence from European Stock Markets[J]. Research in International Business and Finance,2016,38(3):45~55.
[7]饶育蕾,刘达锋.行为金融学[M].上海:上海财经大学出版社,2003.
[8]王美今,孙建军.中国股市收益、收益波动与投资者关注[J].经济研究,2004,(10):75~83.
[9]许柳英,陈启欢.公众注意力影响买入行为吗?——基于投资者的行为分析[J].上海管理科学,2005,(4):39~41.
[10]张强,杨淑娥.中国股市横截面收益特征与投资者关注的实证研究[J].系统工程,2008,(7):22~28.
[11]池丽旭,庄新田.我国投资者关注对股票收益影响——基于面板数据的研究[J].经济与金融,2011,(6):41~48.
[12]郑瑶,董大勇.网络证券信息交流减弱股市羊群效应?——基于中国证券市场的分析[J].管理评论,2015,(6):58~67.
[13]易洪波,欧云.网络论坛信息挖掘与投资者关注测度[J].财政金融,2016,(9):20~22.
[14] M Bessec,J Fouquau. The Non-linear Link Between Electricity Consumption and Temperature in Europe:A Threshold Panel Approach[J]. Energy Economics,2008,30(5):2705~2721.
[15] Fama,Eugene F. French,Kenneth R. Common Risk Factors in the Returns on Stocks and Bods[J]. Journal of Financial Economics,1993,22(1):3~56.
[16] G Colletaz,C Hurlin. Threshold Effects in the Public Capital Productivity Aninternational Panel Smooth Transition Approach[R]. University of Orleans Working Paper,No. 1669,2006.
[17] J E Zhi Da,Pengjie Gao. In Search of Attention[J]. The Journal of Finance,2011,66(5):1461~1499.