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首页> 外文期刊>International Review of Financial Analysis >Investor attention shocks and stock co-movement: Substitution or reinforcement?
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Investor attention shocks and stock co-movement: Substitution or reinforcement?

机译：投资者注意力震荡和股票合作：替代或加固？

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摘要

The impact of investor attention allocation shocks on firm-level stock return co-movements with the market remains of great interest. Recent papers study this issue while showing that large national lottery jackpots act as shocks to investor attention. This paper contributes substantially to this stream of investigation. Motivated by studies in behavioral finance, we frame the role of shocks to investor attention as either substituting for investor attention or reinforcing it, with co-movements between the stock-level and the market level either increasing or decreasing respectively. We identify, in contrast to other studies, an economically significant reinforcement effect for the Chinese market. We find generally that large lottery jackpots increase, rather than decrease, allocation of investor attention to individual stocks, and, consequently, stock return co-movements with the market decrease rather than increase. An exception is the bear market of 1st January 2011-21st May 2014, where we find, as in earlier studies, jackpots associated with decreased attention. Compared to recent work on national lotteries and investor-attention allocation, our findings suggest far more contextual nuance to this topic than previously acknowledged. Our results should be of great interest to scholars interested in the impact of investor-attention allocation on financial markets, as well as to investment professionals.
机译：投资者注意力分配冲击对公司级股票回报的影响与市场仍然存在巨大兴趣。最近的论文研究了这个问题，同时表现出大型国家彩票奖金作为投资者关注的冲击。本文对这一调查流有贡献。通过研究行为金融的研究，我们框架震动对投资者注意的作用，因为投资者的注意力或加强它，在股票水平和市场水平之间分别增加或减少。与其他研究相比，我们确定了中国市场的经济上显着的强化效应。我们通常发现大型彩票累积奖金增加，而不是降低投资者对个人股票的关注，从而与市场减少而不是增加的股票回报。例外是2014年1月1日1月1日的熊市，我们发现，如早期的研究，累积与关注的累积有关。与最近的国家彩票和投资者关注分配的工作相比，我们的调查结果表明比以前承认的话题更为不良差别。我们的结果应该对有兴趣的学者对投资者关注分配对金融市场的影响以及投资专业人员感兴趣。

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