运筹与管理 ›› 2019, Vol. 28 ›› Issue (7): 144-152.DOI: 10.12005/orms.2019.0161
曾宪聚1, 张雅慧2, 冯耕中3
收稿日期:
2018-01-26
出版日期:
2019-07-25
通讯作者:
张雅慧(1983-),女,河北邯郸人,博士,研究方向:公司金融与行为金融;
作者简介:
曾宪聚(1978-),男,河南唐河人,副教授,博士,研究方向:公司治理,注意力基础观与战略决策;冯耕中(1966-),男,吉林吉林人,教授,博士,研究方向:物流与供应链管理。
基金资助:
ZENG Xian-ju1, ZHANG Ya-hui2, FENG Geng-zhong3
Received:
2018-01-26
Online:
2019-07-25
摘要: 鉴于中国A股市场个人投资者比例相对较高但其理性程度相对较低的实际情况,在拓展Tetlock模型的基础上构建了一个两资产三阶段的理性期望模型。研究发现:首先,被报道股票的价格受到注意力效应的影响,存在正向注意力溢价;其次,注意力交易者对被报道股票的交易量在媒体报道后放大,且存在买卖不平衡性;最后,作为对有限理性的补偿,注意力受媒体报道的影响程度越高,其收益越低。论文在统一的分析框架之内考察了媒体报道对缓解信息不对称和引发投资者注意力效应两方面的影响,有助于在理论上为进一步探索媒体报道对股票市场的影响机理、在实践中为监管层更好地利用媒体力量促进股市健康发展提供理论启示。
中图分类号:
曾宪聚, 张雅慧, 冯耕中. 注意力视角下媒体报道对股价的影响模型研究[J]. 运筹与管理, 2019, 28(7): 144-152.
ZENG Xian-ju, ZHANG Ya-hui, FENG Geng-zhong. A Model of Media’s Effect on Reported Stocks’ Market Performance:from the Investor Attention Perspective[J]. Operations Research and Management Science, 2019, 28(7): 144-152.
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