有限关注、心理锚与预期收益

选取"金融异象"中的有限关注与锚定效应,通过构建动量交易投资组合模型和面板数据回归模型,以沪深300成分股为样本,考察有限关注、心理锚与股票预期收益之间的关系。研究发现：由于有限关注,投资者对"前52周股价新高"和"历史最高股价"两个心理锚均反应不足;由于投资者反应不足,现价与"前52周股价新高"和"历史最高股价"两个心理锚的接近程度均显著正向地预测股票未来收益,并且在牛市环境下预测效果最好;蒙特卡洛模拟的结果支持了这一结论。

Limited attention,psychological Anchors and Expected Returns

Limited attention and anchored effect are important financial visions.Based on shares of CSI 300 Index, this paper empirically studies the relationship between limited attention, psychological anchors and expected stock returns by constructing momentum portfolio and panel model. we find that, owing to limited attention, investors behave lack of response to the psychology anchor which is either "52-week highest price" or "historical highest price". We also find that, owing to lack of response, nearness to the two anchors all positively predict future stock returns, and the impact is the highest in bull market. The conclusion is confirmed by the results of Monte Carlo Simulation.