投资者结构与股价波动：基于过度自信和注意力分配的理论分析

本文假定市场上仅存在散户和机构，且他们之间存在过度自信的差异和对多期私有信息注意力分配方式的差异，在此基础上对投资者结构和股价波动的关系进行了理论分析，并进一步研究了投资者结构的长期均衡问题。研究表明，当两种差异同时存在时，第一，市场上现有的投资者结构决定了散户或机构比例的上升是否增加股价波动。如果市场是散户主导的，那么散户比例的上升将加剧股价波动；如果市场是机构主导的，那么在特定情形下，机构比例的上升将加剧股价波动。第二，散户在长期均衡时不仅不会彻底消失，甚至会在特定情形下完全占据市场。

Investor Structure and Stock Price Volatility: Theoretical Analysis Based on Overconfidence and Attention Allocation

In this paper, assuming that there are only retail and institutional investors in the market and they behave differently based on both overconfidence and attention allocation on multi-period private information, we analyze the relationship between the investor structure and the stock price volatility. Meantime, we also study the long-run equilibrium of the investor structure. We conclude that when both behavior differences exist, first, the market contemporaneous investor structure decides whether the increase of the proportion of retail or institutional investors results in the increase of the stock price volatility. If retail investors dominate the market in quantity, the increase of their proportion will be followed with that of the stock price volatility; If institutional investors dominate the market, their growing can only increase the stock price volatility under certain circumstances. Second, the retail investors will survive the market and maybe occupy the whole market under certain circumstances in the long-run equilibrium.