JOURNAL OF EMPIRICAL FINANCE，VOL45, JANUARY 2018

非对称的投资者关注和波动的非对称性

作者：Micha? Dzieliński (Stockholm University)

Marc Oliver Rieger (University of Trier)

T?nn Talpsepp (Tallinn University of Technology)

摘要：本文通过分析大量美国公司的样本，发现股票收益波动的非对称性与投资者关注及其意见分歧是正相关的。本文使用给定公司的分析师数量来衡量投资者关注，用分析师预测的分散性作为意见分歧的代理变量，并证明二者对于股票收益波动性的作用是互补的。此外，本文发现机构持股比例低且特质波动高的股票，其关注的效应最强。本文的结果对于解释波动非对称性的传统“杠杆效应”理论来说是稳健的。本文的结论与其他文章中记录的投资者关注与波动性之间的关系类似，并进一步阐明，波动性的非对称性是由非对称的投资者关注所造成的。

关键词：波动非对称性，杠杆效应，分析师，投资者关注

Asymmetric Attention and Volatility Asymmetry

Micha? Dzieliński (Stockholm University), Marc Oliver Rieger (University of Trier), T?nn Talpsepp (Tallinn University of Technology)

ABSTRACT

Analyzing a large sample of U.S. firms, we show that the asymmetry of stock return volatility is positively related to investor attention and differences of opinion. Using the number of analysts following a given firm to capture attention and the dispersion in analyst forecasts as a common proxy for differences of opinion, we show that the two effects are complementary. Furthermore, the effect of attention is strongest among stocks with low institutional ownership and high idiosyncratic volatility. Our results are robust to the traditional “leverage effect” explanation of volatility asymmetry. The findings relate to the previously documented relationship between attention and volatility and suggest that volatility asymmetry is driven by asymmetric attention.

Keywords: Volatility Asymmetry, Leverage Effect, Analysts, Investor Attention

原文链接：

http://www.sciencedirect.com/science/article/pii/S0927539817300865#!

翻译：王秭越