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陈鑫|第230期双周学术论坛

作者:     日期:2018-04-16    来源:

  一、主题:Attention spillover effects in asset pricing

  二、主讲人:陈鑫,清华大学五道口金融学院博士生。在中央财经大学获得经济学本科和硕士学位。他的研究领域是行为金融、实证资产定价。目前主要研究的主题是,基于投资者心理偏误和市场机制缺陷发掘二级市场投资策略。

  三、时间:2018年4月18日(周三),12:30-13:30

  四、地点:学院南路校区主教学楼913会议室

  五、主持人:黄志刚,中央财经大学金融学院副教授

 

  摘要:Psychological research suggests individuals have limited resource of attention and a tendency to be overconfident in winning status. These two behavior biases imply an attention spillover effect, which stocks noticed by individuals in winning status would be traded excessively and get overvalued. We test the implication through a natural experiment in China, in which stocks are assigned with a unique listing code almost randomly and trading softwares list stocks on the screen according to these codes. When searching a particular stock, people glimpse nearby ones effortlessly. In our empirical analysis, we find returns of nearby stocks have significant higher correlation, and returns in the neighbor positively predict future stock return and turnover. The strategy based on surrounding stocks’ returns earns an annual profit of 6.82 percent. This strategy return will vanish in the long-term. Empirical tests in NYSE, AMEX and NASDAQ markets also provide consistent evidence. Our results provide evidence for the existence of attention spillover effect, and provide evidence that assets’ price can be driven by purely non-fundamental factors.