Journal of Financial Economics, October 2018

注意力分配和收益共同运动：来自重复自然实验的证据

作者：Shiyang Huang (The University of Hong Kong)

Yulin Huang(The University of Hong Kong)

Tse-Chun Lin(The University of Hong Kong)

摘要：我们假设当投资者对金融市场的关注较少时，他们理性地将相对更多的注意力分配给市场层面的信息而不是公司特定的信息，从而导致股票收益率共同变动的增加。使用大型头奖彩票作为外部冲击，将投资者的注意力从股市上转移开，我们找到的支持性证据表明：股票收益与大型头奖彩票的市场走势更加一致。对于散户投资者偏好的股票而言，这种影响更为显著，并且不受赌博情绪的驱动。我们还发现，股票收益对收益冲击的敏感性较低，在大型头奖彩票日与行业存在更多的共同变动。

Attention allocation and return co-movement: Evidence from repeated natural experiments

Shiyang Huang (The University of Hong Kong)；Yulin Huang(The University of Hong Kong)；Tse-Chun Lin(The University of Hong Kong)

ABSTRACT

We hypothesize that when investors pay less attention to financial markets, they rationally allocate relatively more attention to market-level information than to firm-specific information, leading to increases in stock return co-movements. Using large jackpot lotteries as exogenous shocks that attract investors’ attention away from the stock market, we find supportive evidence that stock returns co-move more with the market on large jackpot days. This effect is stronger for stocks preferred by retail investors and is not driven by gambling sentiment. We also find that stock returns are less sensitive to earnings surprises and co-move more with industries on large jackpot days.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18302848#!

翻译：黄涛