本地投资者有信息优势吗?基于百度搜索的实证研究
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摘要
本文以公司注册地所在省份网民在百度中对公司股票简称搜索的次数占全国网民搜索总次数的比例,度量公司被本地个人投资者关注的程度,发现A股市场个人投资者显著过度关注本地公司,即在注意力配置上存在本地偏差。基于注意力配置和资产配置的紧密关联,本文利用这一本地关注度指标对A股市场本地偏差现象源自投资者理性的信息优势还是非理性的行为偏差进行了实证检验,发现个人投资者对本地公司的过度关注提高了上市公司风险溢价水平,强化了个股股价与市场、行业以及区域个股的同步性,并削弱了个股的定价效率,表明行为偏差假说对A股市场本地偏差现象更具解释能力。
Classic asset portfolio theory suggests diversification is helpful for reducing portfolio risks.However,it is well documented that despite the benefit of diversification,both professional investment managers and individual investors display a strong preference for investing in local stocks.Two competitive theories are suggested to explain the causes of the local bias.The information advantage theory argues that local investors get information advantages from local social networks with local agents such as executives,employees,customers,suppliers and local media et al.Meanwhile,the behavioral theory attributes the local bias to investors' irrational biases such as familiarity preference,herding behavior,overconfidence et al.However,prior empirical studies show inconsistent results to the effectiveness of these theories.One of the difficulties to empirically study the causes and effects of the local bias is the lack of appropriate proxies for the extent that investors over allocate their assets towards local stocks.Based on the close interaction between investors' asset allocation and attention allocation,the ratio of stocks' Baidu search volume(which is expressed as Baidu index)initiated by local netizen is used to that initiated by all netizen nationwide to measure on what extent investors over allocate their attention to local stocks so as to indirectly measure investors' local bias on asset allocation.With a sample of A-share stocks from 2007-2016,it is found that on average the percentage of Baidu search volume initiated by local netizen is 5.73 times of their population percentage,which indicates that investors in A-share market over allocate their attention and asset to local stocks notably.Investors in less developed provinces pay more attention to local stocks.Stocks with smaller sizes,lower book-to-market ratios,less turnover,lower debt-to-asset ratios and fewer shareholders are more attractive to local investors.The impact of investors' local attention on A-share stock risk premiums,price synchrony and pricing efficiency is empirically tested so as to test whether the local bias in A-share market is better explained by investors' information advantage or behavior biases.It's found that stocks with more local attention show higher risk premiums,stronger price synchrony and lower pricing efficiency.All these findings are consistent with the irrational behavior hypothesis,indicating that local investors in A-share markets do not show significant information advantages.Three aspects are contributed to the literature.First,since Baidu indices are officially released by Baidu and could be easily and freely obtained online,a convenient and effective proxy of the local bias for related researches is provided.Second,with empirical findings from three different perspectives,it is provided that the local bias of A-share investors is better explained by the irrational behavior theory rather than by the information advantage theory.Third,it is shown that investors' geography preference on attention allocation makes significant impact on the process and efficiency of A-shares pricing,which is meaningful for A-share market participants and regulators.
Classic asset portfolio theory suggests diversification is helpful for reducing portfolio risks.However,it is well documented that despite the benefit of diversification,both professional investment managers and individual investors display a strong preference for investing in local stocks.Two competitive theories are suggested to explain the causes of the local bias.The information advantage theory argues that local investors get information advantages from local social networks with local agents such as executives,employees,customers,suppliers and local media et al.Meanwhile,the behavioral theory attributes the local bias to investors' irrational biases such as familiarity preference,herding behavior,overconfidence et al.However,prior empirical studies show inconsistent results to the effectiveness of these theories.One of the difficulties to empirically study the causes and effects of the local bias is the lack of appropriate proxies for the extent that investors over allocate their assets towards local stocks.Based on the close interaction between investors' asset allocation and attention allocation,the ratio of stocks' Baidu search volume(which is expressed as Baidu index)initiated by local netizen is used to that initiated by all netizen nationwide to measure on what extent investors over allocate their attention to local stocks so as to indirectly measure investors' local bias on asset allocation.With a sample of A-share stocks from 2007-2016,it is found that on average the percentage of Baidu search volume initiated by local netizen is 5.73 times of their population percentage,which indicates that investors in A-share market over allocate their attention and asset to local stocks notably.Investors in less developed provinces pay more attention to local stocks.Stocks with smaller sizes,lower book-to-market ratios,less turnover,lower debt-to-asset ratios and fewer shareholders are more attractive to local investors.The impact of investors' local attention on A-share stock risk premiums,price synchrony and pricing efficiency is empirically tested so as to test whether the local bias in A-share market is better explained by investors' information advantage or behavior biases.It's found that stocks with more local attention show higher risk premiums,stronger price synchrony and lower pricing efficiency.All these findings are consistent with the irrational behavior hypothesis,indicating that local investors in A-share markets do not show significant information advantages.Three aspects are contributed to the literature.First,since Baidu indices are officially released by Baidu and could be easily and freely obtained online,a convenient and effective proxy of the local bias for related researches is provided.Second,with empirical findings from three different perspectives,it is provided that the local bias of A-share investors is better explained by the irrational behavior theory rather than by the information advantage theory.Third,it is shown that investors' geography preference on attention allocation makes significant impact on the process and efficiency of A-shares pricing,which is meaningful for A-share market participants and regulators.
引文
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[2]Coval J D,Moskowitz T J.Home bias at home:Local equity preference in domestic portfolios[J].Journal of Finance,1999,54(6):2045-2073.
[3]Grinblatt M,Keloharju M.How distance,language,and culture influence stockholdings and trades[J].Journal of Finance,2001,56(3):1053-1073.
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[6]Jacobs H,Weber M.The trading volume impact of local bias:Evidence from a natural experiment[J].Review of Finance,2012,16(4):867-901.
[7]Lin Mingfeng,Viswanathan S.Home bias in online investments:An empirical study of an online crowdfunding market[J].Management Science,2016,62(5):1393-1414.
[8]Pirinsky C,Wang Q H.Does corporate headquarters location matter for stock returns?[J].Journal of Finance,2006,61(4):1991-2015.
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[10]Becker B,Ivkovic Z,Weisbenner S.Local dividend clienteles[J].Journal of Finance,2011,66(2):655-683.
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[13]Ivkovic Z,Weisbenner S.Local does as local is:Information content of the geography of individual investors'common stock investments[J].Journal of Finance,2005,60(1):267-306.
[14]Bernile G,Kumar A,Sulaeman J.Home away from home:Geography of information and local investors[J].Review of Financial Studies,2015,28(7):2009-2049.
[15]Huberman G.Familiarity breeds investment[J].Review of Financial Studies,2001,14(3):659-680.
[16]Demarzo P M,Kaniel R,Kremer I.Diversification as a public good:Community effects in portfolio choice[J].Journal of Finance,2004,59(4):1677-1715.
[17]Ivkovic Z,Weisbenner S.Information diffusion effects in individual investors'common stock purchases:Covet thy neighbors'investment choices[J].Review of Financial Studies,2007,20(4):1327-1357.
[18]Graham J R,Harvey C R,Huang H.Investor competence,trading frequency,and home bias[J].Management Science,2009,55(7):1094-1106.
[19]刘燕,朱宏泉.个体与机构投资者,谁左右A股股价变化?---基于投资者异质信念的视角[J].中国管理科学,2018,26(4):120-130.
[20]Barber B M,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.
[21]俞庆进,张兵.投资者有限关注与股票收益---以百度指数作为关注度的一项实证研究[J].金融研究,2012,(8):152-165.
[22]Mondria J,Wu T,Zhang Y.The determinants of international investment and attention allocation:Using internet search query data[J].Journal of International Economics,2010,82(1):85-95.
[23]彭叠峰,饶育蕾,雷湘媛.基于注意力传染机制的股市动量与反转模型研究[J].中国管理科学,2015,23(5):32-40.
[24]董大勇,肖作平.证券信息交流家乡偏误及其对股票价格的影响:来自股票论坛的证据[J].管理世界,2011,(1):52-61.
[25]Huang Yuqin,Qiu Huiyan,Wu Zhiguo.Local bias in investor attention:Evidence from China′s internet stock message boards[J].Journal of Empirical Finance,2016,38:338-354.
[26]杨晓兰,沈翰彬,祝宇.本地偏好、投资者情绪与股票收益率:来自网络论坛的经验证据[J].金融研究,2016,(12):143-158.
[27]Da Z,Engelberg J,Gao P J.In search of attention[J].Journal of Finance,2011,66(5):1461-1499.
[28]Hirshleifer D,Lim S S,Teoh S H.Driven to distraction:Extraneous events and underreaction to earnings news[J].Journal of Finance,2009,64(5):2289-2325.
[29]Hong H,Kubik J D,Stein J C.The only game in town:Stock-price consequences of local bias[J].Journal of Financial Economics,2008,90(1):20-37.
[30]Shive S.Local investors,price discovery,and market efficiency[J].Journal of Financial Economics,2012,104(1):145-161.
[31]Van Nieuwerburgh S,Veldkamp L.Information immobility and the home bias puzzle[J].Journal of Finance,2009,64(3):1187-1215.
[32]Garcia D,Strobl G.Relative Wealth concerns and complementarities in information acquisition[J].Review of Financial Studies,2011,24(1):169-207.
[33]Garcia D,Norli O.Geographic dispersion and stock returns[J].Journal of Financial Economics,2012,106(3):547-565.
[34]Fama E F,French K R.A five-factor asset pricing model[J].Journal of Financial Economics,2015,116(1):1-22.
[35]Gul F A,Srinidhi B,Ng A C.Does board gender diversity improve the informativeness of stock prices?[J].Journal of Accounting and Economics,2011,51(3):314-338.
[36]Lo A W,MacKinlay A C.Stock market prices do not follow random walks:Evidence from a simple specification test[J].Review of Financial Studies,1988,1(1):41-66.
[37]孔东民,孔高文,刘莎莎.机构投资者、流动性与信息效率[J].管理科学学报,2015,(3):1-15.
[38]石建勋,王盼盼,何宗武.中国牛市真的是“水牛”吗?---不确定性视角下股市价量关系的实证研究[J].中国管理科学,2017,25(9):71-80.
[2]Coval J D,Moskowitz T J.Home bias at home:Local equity preference in domestic portfolios[J].Journal of Finance,1999,54(6):2045-2073.
[3]Grinblatt M,Keloharju M.How distance,language,and culture influence stockholdings and trades[J].Journal of Finance,2001,56(3):1053-1073.
[4]Lei Feng,Seasholes M S.Correlated trading and location[J].Journal of Finance,2004,59(5):2117-2144.
[5]Karlsson A,Norden L.Home sweet home:Home bias and international diversification among individual investors[J].Journal of Banking&Finance,2007,31(2):317-333.
[6]Jacobs H,Weber M.The trading volume impact of local bias:Evidence from a natural experiment[J].Review of Finance,2012,16(4):867-901.
[7]Lin Mingfeng,Viswanathan S.Home bias in online investments:An empirical study of an online crowdfunding market[J].Management Science,2016,62(5):1393-1414.
[8]Pirinsky C,Wang Q H.Does corporate headquarters location matter for stock returns?[J].Journal of Finance,2006,61(4):1991-2015.
[9]Lau S T,Ng L,Zhang B H.The world price of home bias[J].Journal of Financial Economics,2010,97(2):191-217.
[10]Becker B,Ivkovic Z,Weisbenner S.Local dividend clienteles[J].Journal of Finance,2011,66(2):655-683.
[11]Chhaochharia V,Kumar A,Niessen-Ruenzi A.Local investors and corporate governance[J].Journal of Accounting&Economics,2012,54(1):42-67.
[12]Coval J D,Moskowitz T J.The geography of investment:Informed trading and asset prices[J].Journal of Political Economy,2001,109(4):811-841.
[13]Ivkovic Z,Weisbenner S.Local does as local is:Information content of the geography of individual investors'common stock investments[J].Journal of Finance,2005,60(1):267-306.
[14]Bernile G,Kumar A,Sulaeman J.Home away from home:Geography of information and local investors[J].Review of Financial Studies,2015,28(7):2009-2049.
[15]Huberman G.Familiarity breeds investment[J].Review of Financial Studies,2001,14(3):659-680.
[16]Demarzo P M,Kaniel R,Kremer I.Diversification as a public good:Community effects in portfolio choice[J].Journal of Finance,2004,59(4):1677-1715.
[17]Ivkovic Z,Weisbenner S.Information diffusion effects in individual investors'common stock purchases:Covet thy neighbors'investment choices[J].Review of Financial Studies,2007,20(4):1327-1357.
[18]Graham J R,Harvey C R,Huang H.Investor competence,trading frequency,and home bias[J].Management Science,2009,55(7):1094-1106.
[19]刘燕,朱宏泉.个体与机构投资者,谁左右A股股价变化?---基于投资者异质信念的视角[J].中国管理科学,2018,26(4):120-130.
[20]Barber B M,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.
[21]俞庆进,张兵.投资者有限关注与股票收益---以百度指数作为关注度的一项实证研究[J].金融研究,2012,(8):152-165.
[22]Mondria J,Wu T,Zhang Y.The determinants of international investment and attention allocation:Using internet search query data[J].Journal of International Economics,2010,82(1):85-95.
[23]彭叠峰,饶育蕾,雷湘媛.基于注意力传染机制的股市动量与反转模型研究[J].中国管理科学,2015,23(5):32-40.
[24]董大勇,肖作平.证券信息交流家乡偏误及其对股票价格的影响:来自股票论坛的证据[J].管理世界,2011,(1):52-61.
[25]Huang Yuqin,Qiu Huiyan,Wu Zhiguo.Local bias in investor attention:Evidence from China′s internet stock message boards[J].Journal of Empirical Finance,2016,38:338-354.
[26]杨晓兰,沈翰彬,祝宇.本地偏好、投资者情绪与股票收益率:来自网络论坛的经验证据[J].金融研究,2016,(12):143-158.
[27]Da Z,Engelberg J,Gao P J.In search of attention[J].Journal of Finance,2011,66(5):1461-1499.
[28]Hirshleifer D,Lim S S,Teoh S H.Driven to distraction:Extraneous events and underreaction to earnings news[J].Journal of Finance,2009,64(5):2289-2325.
[29]Hong H,Kubik J D,Stein J C.The only game in town:Stock-price consequences of local bias[J].Journal of Financial Economics,2008,90(1):20-37.
[30]Shive S.Local investors,price discovery,and market efficiency[J].Journal of Financial Economics,2012,104(1):145-161.
[31]Van Nieuwerburgh S,Veldkamp L.Information immobility and the home bias puzzle[J].Journal of Finance,2009,64(3):1187-1215.
[32]Garcia D,Strobl G.Relative Wealth concerns and complementarities in information acquisition[J].Review of Financial Studies,2011,24(1):169-207.
[33]Garcia D,Norli O.Geographic dispersion and stock returns[J].Journal of Financial Economics,2012,106(3):547-565.
[34]Fama E F,French K R.A five-factor asset pricing model[J].Journal of Financial Economics,2015,116(1):1-22.
[35]Gul F A,Srinidhi B,Ng A C.Does board gender diversity improve the informativeness of stock prices?[J].Journal of Accounting and Economics,2011,51(3):314-338.
[36]Lo A W,MacKinlay A C.Stock market prices do not follow random walks:Evidence from a simple specification test[J].Review of Financial Studies,1988,1(1):41-66.
[37]孔东民,孔高文,刘莎莎.机构投资者、流动性与信息效率[J].管理科学学报,2015,(3):1-15.
[38]石建勋,王盼盼,何宗武.中国牛市真的是“水牛”吗?---不确定性视角下股市价量关系的实证研究[J].中国管理科学,2017,25(9):71-80.