基于有限注意的IPO溢出效应研究
摘要
心理学研究发现人的注意力是有限的,对某一目标的关注会以牺牲对另一目标的关注为代价。面对现代社会海量的信息,注意力已经成为一种稀缺资源。在金融市场中,投资者必须将自己有限的注意力进行合理配置。而投资者在进行注意力配置时,会受到个人主观因素、信息的客观特征及环境等因素的影响。因此,投资者在配置注意力时容易产生偏差,出现注意力配置不平衡的现象。
IPO作为证券市场的热点事件,由于其刺激强度大、持续性长等特征,集聚了大量投资者、分析师、新闻媒体的关注。同时,与IPO同行业同地域的股票由于“板块现象”等“天生”的联系也极易受到投资者的关注。本文在传统经济学分析的基础上,引入投资者注意力因子,分析了IPO对同行业同地域股票的溢出效应。通过理论和模型分析,投资者注意力会对IPO的溢出效应产生重要的影响。同时,IPO对同行业同地域股票存在信息效应和竞争效应。
另外,本文利用2006年6月～2010年2月的IPO作为事件样本,研究IPO对同行业同地域股票的溢出效应。首先,运用简单的超额收益模型和市场预测模型对IPO的溢出效应进行度量和统计,发现短期内的IPO溢出效应不明显,随着时间区间的增加,该效应逐渐显著。接着,本文通过构建信息效应、竞争效应和投资者注意力的代理变量对IPO的短期和长期溢出效应进行了实证分析。短期内,投资者注意力影响不显著,信息效应和竞争效应对IPO的溢出效应产生显著影响,但这两种效应中和导致IPO的短期溢出效应不明显。通过对IPO的长期溢出效应的实证分析,发现投资者注意力能够解释长期的IPO溢出效应。
Psychology research found that attention is limited. Attention to one task necessarily requires a substitution of cognitive resources from the others. In modern social, with the plentiful information, attention is a kind of scarce resources. In financial markets, investors should allocate the limited attention reasonably. When investors allocate their attention, they will be affected by the subjective factors, the objective characteristics of information, and environmental factors. Therefore, investors have bias in allocating attention frequently. There is phenomenon that the attention allocating is imbalance.
In securities market, IPO is the hotspot. IPO is great strength and persistent stimulate to a large number of investors and analysts, and the media pay close attention to it. Meanwhile, the same industry and region stocks are also paid close attention due to the natural relation and "plate phenomenon". In this paper, based on the analysis of the traditional economics and adding the factor of limited attention, we analyse IPO Spillover effect to the same industry and region stocks. With theoretical analysis and modeling, limited attention is important to IPO Spillover effect. And IPO has information effect and competitive effect to the same industry and region stocks.
We choose the IPO from June 2006 to February 2010 as events to study IPO Spillover effect to the same industry and region stocks. The simple CAR model and market forecast model are used to measure IPO Spillover effect. We found the short-term IPO Spillover effect is not obvious. But the IPO Spillover effect is increase gradually as the time. Then, we choose some variables that represent information effect, competitive effect and investors'attention to make regression analysis.In short time, investors'attention is not important, but the information effect and competitive effect is obvious. And the one effect offsets the other. So the short-term effect doesn't appear. With empirical analysis of the long-term effect, We found that investors' attention can explain the abnormal returns.
IPO作为证券市场的热点事件,由于其刺激强度大、持续性长等特征,集聚了大量投资者、分析师、新闻媒体的关注。同时,与IPO同行业同地域的股票由于“板块现象”等“天生”的联系也极易受到投资者的关注。本文在传统经济学分析的基础上,引入投资者注意力因子,分析了IPO对同行业同地域股票的溢出效应。通过理论和模型分析,投资者注意力会对IPO的溢出效应产生重要的影响。同时,IPO对同行业同地域股票存在信息效应和竞争效应。
另外,本文利用2006年6月～2010年2月的IPO作为事件样本,研究IPO对同行业同地域股票的溢出效应。首先,运用简单的超额收益模型和市场预测模型对IPO的溢出效应进行度量和统计,发现短期内的IPO溢出效应不明显,随着时间区间的增加,该效应逐渐显著。接着,本文通过构建信息效应、竞争效应和投资者注意力的代理变量对IPO的短期和长期溢出效应进行了实证分析。短期内,投资者注意力影响不显著,信息效应和竞争效应对IPO的溢出效应产生显著影响,但这两种效应中和导致IPO的短期溢出效应不明显。通过对IPO的长期溢出效应的实证分析,发现投资者注意力能够解释长期的IPO溢出效应。
Psychology research found that attention is limited. Attention to one task necessarily requires a substitution of cognitive resources from the others. In modern social, with the plentiful information, attention is a kind of scarce resources. In financial markets, investors should allocate the limited attention reasonably. When investors allocate their attention, they will be affected by the subjective factors, the objective characteristics of information, and environmental factors. Therefore, investors have bias in allocating attention frequently. There is phenomenon that the attention allocating is imbalance.
In securities market, IPO is the hotspot. IPO is great strength and persistent stimulate to a large number of investors and analysts, and the media pay close attention to it. Meanwhile, the same industry and region stocks are also paid close attention due to the natural relation and "plate phenomenon". In this paper, based on the analysis of the traditional economics and adding the factor of limited attention, we analyse IPO Spillover effect to the same industry and region stocks. With theoretical analysis and modeling, limited attention is important to IPO Spillover effect. And IPO has information effect and competitive effect to the same industry and region stocks.
We choose the IPO from June 2006 to February 2010 as events to study IPO Spillover effect to the same industry and region stocks. The simple CAR model and market forecast model are used to measure IPO Spillover effect. We found the short-term IPO Spillover effect is not obvious. But the IPO Spillover effect is increase gradually as the time. Then, we choose some variables that represent information effect, competitive effect and investors'attention to make regression analysis.In short time, investors'attention is not important, but the information effect and competitive effect is obvious. And the one effect offsets the other. So the short-term effect doesn't appear. With empirical analysis of the long-term effect, We found that investors' attention can explain the abnormal returns.
引文
②赵保国.新股发行上市溢价之谜的解释——基于中国证券市场的实证分析[J].财经问题研究,2007,(9)55-60.
③王宗胜.基于注意力的证券投资选择[D].天津：天津财经大学,2007.12
④ DeLong J.B., Shleifer A., Summers L., and Waldmann R.. Noise Trader Risk in Financial Markets[J]. Journal of Political Economy.1990,98(4):703-738.
①Daniel, Kent D., Mark Grinblatt, Sheridan Titman and Russ Wermers.Measuring Mutual Fund Performance with Characteristic-Base Benchmarks[J].Journal of Finance,1997,52:1035-1058。
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④ DeLong J.B., Shleifer A., Summers L., and Waldmann R.. Noise Trader Risk in Financial Markets[J]. Journal of Political Economy.1990,98(4):703-738.
①Daniel, Kent D., Mark Grinblatt, Sheridan Titman and Russ Wermers.Measuring Mutual Fund Performance with Characteristic-Base Benchmarks[J].Journal of Finance,1997,52:1035-1058。
[1]Akhigbe A., Madura J., and Whyte A.M.. Intra-industry effects of bond rating adjustments[J]. Journal of Financial Research,1997,20: 545-561.
[2]Akhigbe A., Borde S. F. and Whyte A.M.. Does an industry effect exist for initial public offerings? [J]. The Financial Review,2003, 38:531—551.
[3]Aboody, D., Lehavy R. and Trueman B.. Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners[R]. SSRN working paper,2008.
[4]Aylward G. P., Verhulst S. J. and Bell S..Individual and Combined Effects of Attention Deficits and Learning Disabilities on Computerized ADHD Assessment. Journal of Psychoeducational Assessment [J].1990,8 (4):497-508.
[5]Barber M. and Terrance Odean. All That Glitters:The effect of Attention and Newson the Buying Behavior of Individual and Institutional Investors[J]. Review of Financial Studies,2008 21(2):785-818.
[6]Barker D. and Loughran T.. The Geography of S&P500 Stock Returns [J]. Forthcoming, Journal of Behavioral Finance,2007.
[7]Boulatov A., Hatch B. C., Johnson S. A. and Lei Adam Y. C.. Dealer attention, the speed of quote adjustment to information, and net dealer revenue [J]. Journal of Banking & Finance,2009,33:1531-1542.
[8]Brown S. and J.Warner. Using Daily Stock Returns:The Case of Event Studies[J]. Journal of Financial Economics,1985,14:3-31.
[9]Chan W. Stock Price Reaction to News and No News:Drift and Reversal after Headline[J]. Journal of Financial Economics,2003,70(2): 223-260.
[10]Chemmanur Thomas J. and An Yan. Advertising, Attention, and Stock Returns[R].SSRN working Paper,2009.
[11]Cheng L. T. W. and J. E. McDonald. Industry Structure and Ripple Effects of Bankruptcy Announcements [J]. The Financial Review,1996, 31:783-807.
[12]Corwin Shane A.and Coughenour Jay F. Limited Attention and the Allocation of Effort in Securities Trading[J]. The Journal of Finance,2008,63 (6):3031-3067.
[13]Coval J. and Moskowitz T..The Geography of Investment:Informed Trading and Asset Prices[J]. Journal of Political Economy,,2001,109(4):811-841.
[14]Coval, Joshua D., Tobias J. and Moskowitz.. Home Bias at Home:Local Equity Preference in Domestic Portfolios [J]. Joumal of Finanee,1999, 54(6):2045-2073.
[15]Da Z.,Engelberg J. and Gao P. J.. In Search of Attention[R]. SSRN working paper,2009.
[16]Davenport T. H. and Beck J. C.. The Attention Economy:Understanding the New Currency of Business [M]. Harvard Business School Press,2001.
[17]Davis, James and Henderson J. V.. The Agglomeration of Corporate Headquarters[R]. Working Paper, Brown University,2004.
[18]Fama Eugene F., Fisher L., Jensen M. and Roll R.. The Adjustment of Stock Price to New Information[J]. International Economic Review, 1969,10:1-21.
[19]Fama Eugene F..Market Efficiency, Long-Term Returns, and Behavioral Finance[J]. Journal of Financial Economic,1998,49:283-306.
[20]Foster G.. Intra-Industry Information Transfers Associated with Earnings Releases[J]. Journal of Accounting and Economics,1981, 3(3):201-232.
[21]Hertzel M. G.. The effects of stock repurchases on rival firms[J]. Journal of Finance,1991,46:707-716.
[22]Hirshleifer D. and Teoh S.. Limited Investor Attention and Stock Market Misreactions to Accounting Information[R]. Working paper,2006, Ohio State University.
[23]Hirshleifer D. A. and Teoh S. H.. Limited Investor Attention and Stock Market Misreactions to Accounting Information [R]. SSRN Working Paper, 2006.
[24]Hou, Peng and Xiong. A Tale of Two Anomalies:the Implication on Investor Attention for Price and Earnings Momentum[R]. Baruch College, Ohio State University, and Princeton University, Working paper,2006.
[25]Huang L. and Liu H.. Rational Inattention and Portfolio Selection[J]. The Journal of Finance,2007,7 (4):1999-2040.
[26]Ivkovic, Zoran and Scott Weisbenner. Local Does as Local Is:Information Content of the Geography of Individual Investors' Common Stock Investments [J]. Joumal of Finanee,2004,60(1):267-306.
[27]James L.Davis. Stock Returns, Beta and Firm Size:The Case of Bull, Bear, And Flat Market[R]. Working Paper,1998.
[28]Kacperczyk T., Nieuwerburgh V. and Veldkamp L.. Attention Allocation over the Business Cycle[J]. SSRN, Working Paper,2009.
[29]Klibanoff P., Lamont 0. and Wizman T. A.. Investor Reaction to Salient News in Closed-end Country Funds [J]. Journal of Finance,1998,53(2): 673-699.
[30]Kohers, N.. The Industry-wide Implications of Dividend Omission and Initiation Announcements and the Determinants of Information Transfer [J]. The Financial Review 1999,34:137-158.
[31]Lamont 0. and Frazzini A.. The Earnings Announcement Premium and Trading Volume[R]. SSRN working paper,2007.
[32]Lang L. and Stulz R. M.. Contagion and Competitive Intra-industry Effects of Bankruptcy Announcements[J]. Journal of Financial Economics,1992,32:45-60.
[33]Luo, Y. and Youn g E. R.. Asset Pricing under Information-processing Constraints[R]. Working Paper,2007.
[34]Maksimovic, Vojislav and Pichler P.. Technological Innovation and Initial Public Offerings[J]. Review of Financial Studies 2001,14:459-494.
[35]Melvin, Michael and Magali. The Effects of International Cross-listing on Rival Firms[D]. University of Arizona,2003.
[36]Merton R. C. A Simple Model of Capital Market Equilibrium with Incomplete Information [J]. Journal of Finance,1987,42(3):483-510.
[37]Mondria J. and Domeque C.. Financial Contagion through Attention Reallocation:An Empirical Analysis[R]. SSRN Working paper,2007.
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