关键词: 投资者注意风险溢价, 中国股票市场, 样本外预测, 经济周期波动

Abstract: Using the history accumulative trading amount data, this paper constructs the risk premium of change in investor attention and level of investor attention, and test its predictive power for aggregate stock market excess return in Chinese stock market. Under the out-of-sample predictability test, the results show that the risk premium of two investor attention significantly predict the next month excess return on Chinese stock market with R2 being 2.68% and 2.50%, respectively. Compared with other predictors in the Chinese stock market, the change in investor attention and the level of investor attention risk premiums show a stronger predictive power. In addition, based on alternative forecasting windows, alternative risk aversion choices and alternative five constructing methods, the risk premium of investor attention also significantly predicts excess returns. Economically, the predictive power of investor attention risk premium for stock market comes from the changes in the business cycle. The predictive power is further improved during economic expansions.

Key words: risk premium of investor attention, Chinese stock market, out-of-sample predictability, business cycle