投资者关注与分析师评级漂移——来自中国股票市场的证据

本文使用一个直接源自于投资者行为的新颖变量——财经互动社区的超额发帖量——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,即针对分析师评级变动,股价的立即反应随着投资者关注的增加而增强,股价的漂移随着投资者关注的增加而减弱,同时发现投资者关注对股票交易量具有显著正向的作用。

Investor Attention and Drift of Analyst Ratings:Evidence From the Chinese Stock Market

Using a direct and novel variable — abnormal posting of stock forum — as a proxy variable for investor attention, we find that investor attention can be an explanation variable for the drift of analysts’ratings, and low-attention stocks react less to analysts’ratings than high-attention stocks. Subsequently, the drift of stocks with low attention is more when compared to stocks with high attention. We also find that the higher attention paid by investors, the more stock trading volumn.