【作者】 王攀；

【导师】 饶育蕾；

【作者基本信息】 中南大学 ， 金融学， 2010， 硕士

【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。更多还原

【Abstract】 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.更多还原