导　　师： 陈工孟

学科专业： 020204

授予学位： 博士

作　　者： ;

机构地区： 上海交通大学

摘　　要： 本文对基于投资者关注的资产定价研究进行拓展。首先，从理论和实证两方面研究投资者关注对个人投资者的短期交易行为及其长期收益的影响；接着，系统地分析个人投资者的信息需求行为及其对市场的影响，并对Holthausen和Verrecchia（1990）、Kim和Verrecchia（1997）的理论模型进行实证检验；最后，选取在股票论坛上就投资信息的讨论活动为对象，综合研究投资者关注和投资者情绪在分析师评级漂移现象中所起的作用。本文的主要研究内容和结论如下： 首先，在Kyle（1985）、Barber和Odean（2008）理论模型的基础上，通过引入投资者异质性关注度等参数，理论上证明得到，个人投资者的短期交易行为就信息的敏感性，随着其关注水平的增加而增大。采用百度搜索量衡量个人投资者的关注水平，并结合2007-2010年沪深A股上市公司的分析师评级事件，实证验证了上述理论模型，发现当个人投资者对分析师评级给予较高关注时，针对分析师评级变动做出的对应反应更加充分。 接着，本文进一步从理论上证明得到，个人投资者的长期投资收益随着其关注水平的增加而减少。采用百度搜索量衡量个人投资者的关注水平，从实证上验证了Barber和Odean（2008）的价格压力假说和上述理论结论。 搜索是公众通过搜索引擎获取信息的过程，本文使用百度搜索量来衡量个人投资者的信息需求行为，发现并购、红利分配、盈余公告和业绩预告等事件显著地增加了个人投资者的信息需求行为，而且在不同的市场行情下，个人投资者对公司基本价值和投机机会的关注存在显著的差异。接着，本文着重研究盈余公告附近，个人投资者的信息需求行为及其对市场的影响，发现在盈余公告之前，个人投资者就显著地增加了对公司信息的需求，在盈余公告公布日，其信息需求达到峰值，超过通常情况下的25.8/%，随后仍会持续一段时间，而且发现个人投资者更倾向于搜集信息不对称程度较严重公司的信息。与Holthausen和Verrecchia（1990）、Kim和Verrecchia（1997）等理论模型的结论一致，本文发现盈余公告附近，随着个人投资者信息需求的增加，股票的交易量也随之增加；在盈余公告之前，超额收益对未预期盈余的反应不随着投资者信息需求的增加而增强；但是盈余公告之后，超额收益对未预期盈余的反应随着盈余公告前的信息需求的增加而减小。 最后，本文发现“股吧”的超额发帖量与表示投资者关注的其他代理变量在1/%的水平上显著正相关，而且“股吧”的发帖行为领先于投资者对股票进行搜索的行为和新闻报道。使用超额发帖量作为投资者关注的代理变量，发现投资者关注可以用来解释分析师评级的漂移现象。接着，借助文本情感分析技术测度“股吧”上每条帖子的情感色彩，并构建投资者情绪指标，综合分析了投资者关注和投资者情绪对分析师评级漂移的作用，发现当投资者关注越高，且投资者情绪越高涨的时候，股价对分析师评级变动的立即反应越充分，延迟反应越小。 This dissertation expands the study of asset pricing based on investor attention.We theoretically and empirically explores the effects of investor attention on investortrading behavior and investment return. We also study the factors that affect investorinformation demand, and empirically test the theoretical models of Holthause andVerrecchia /(1990/) and Kim and Verrecchia /(1997/). Using information of the stockforum, we study the influence of investor attention and investor sentiment on theanalyst rating drift. The main contents and conclusions are as follows: Firstly, by introducing the heterogeneous attention, we expand the models ofKyle /(1985/) and Barber and Odean /(2008/). We theoretically find that when positiveinformation arrives, investor attention will enlarge the return of risky asset. However,when negative information comes, investor attention will amplify the loss. Usingsearch volume of Baidu to measure investor attention and combining with analysts’rating from2007to2010in Shanghai and Shenzhen A-share stock market, weconfirm the conclusions of the theoretical model. Secondly, we theoretically get that investor attention negatively affectsindividual investors’ investment return. Using abnormal search volume of Baidu as aproxy for individual investors’ attention, We find evidences support for Barber andOdean’s /(2008/) price pressure hypothesis and the conclusions of our theoreticalmodel. As search activities are investors in the process of getting information through asearch engine, we use search volume of Baidu to measure individual investorinformation demand. We find that acquisitions, dividends, earnings announcementsand performance forecasts significantly increase investors' information demand. Wealso find that individual investors search for more information around earningsannouncements and especially for firms having more asymmetric information. In theearnings announcements date, search volume reaches the peak and is25.8/%morethan the usual case. Consistent with the theoretical model of Holthause and Verrecchia/(1990/) and Kim and Verrecchia /(1997/), we find that the more individual investorssearch around earnings announcements, the more the stocks trading volume. Information demand before earnings announcements has no effect on the relationshipof contemporary abnormal return and earning surprise, but the postive associatonbetween abnormal return after earnings announcements and earning surprise is morepronounced when search before earnings announcements is more intense. Finally, we find that abnormal posting on East-Money stock forum issignificantly and positively correlated with other proxies of investor attention, andposting on the stock forum leads search activities and news reporting. Using abnormalposting on the stock forum as a proxy for investors’ attention, we find that investorattention can be an explanation for the drift of analysts’ ratings. By using SentimentAnalysis technology to analyze each posting, we construct investor sentiment indexfor each stock. By studying the effect of investor attention and investor sentiment onthe drift of analysts’ ratings, we also find that the higher attention and sentiment ofinvestors, the more stocks immediately react to analysts’ ratings. Subsequently, thedrift of stocks with high investor attention and sentiment is smaller than the lowinvestor attention and sentiment stocks.

关 键 词： 投资者关注 信息需求 个人投资者 盈余公告 分析师评级 网络数据

分 类 号： [F830.91 F224]

领　　域： [经济管理] [经济管理]