【摘要】：本文受到心理學(xué)研究中關(guān)于注意力是一種有限的認(rèn)知資源的啟發(fā)，分析了在動態(tài)資產(chǎn)定價中注意力分配的作用。特別是在投資者注意力有限的條件下，資產(chǎn)價格波動與信息流的關(guān)系。通過最大化投資者的效用，在注意力有限的條件下，投資者當(dāng)期的注意力分配問題就是最小化下一期股息支付的方差。最小化未來的不確定性使得投資者能更有效地做出消費(fèi)決策。當(dāng)市場因素的不確定性相對于行業(yè)因素以及資產(chǎn)自身因素更大時，投資者會分配更多的注意力在市場因素上。因為這樣所帶來的效用更大。 在實(shí)證分析部分，本文用國債指數(shù)的每日已實(shí)現(xiàn)的波動率來衡量增加市場層面不確定性的宏觀經(jīng)濟(jì)沖擊，上證指數(shù)每天已實(shí)現(xiàn)波動率用來衡量市場的波動率，個股已實(shí)現(xiàn)方差中的特質(zhì)性方差與個股總方差比率用來衡量資產(chǎn)價格與市場的聯(lián)動性。分布作宏觀沖擊對市場波動率以及個股與市場聯(lián)動性的向量自回歸，通過它們的脈沖響應(yīng)圖發(fā)現(xiàn)，當(dāng)宏觀沖擊到來時，市場波動率以及個股與市場聯(lián)動性會先增加，然后減小，，最后發(fā)生反轉(zhuǎn)。因此，投資者的注意力確實(shí)在進(jìn)入市場的信息流改變時發(fā)生了轉(zhuǎn)移，這也說明投資者的注意力是有限的。此實(shí)證結(jié)果基本與基于理論分析的結(jié)果保持一致，即當(dāng)市場層面不確定性增加時，注意力有限的投資者會把更多的注意力轉(zhuǎn)移到市場因素不確定性的信息處理上，當(dāng)幾天后市場層面不確定性減小后，投資者又會把注意力轉(zhuǎn)移回資產(chǎn)自身因素的信息處理上。
[Abstract]:Inspired by the psychological research that attention is a limited cognitive resource, this paper analyzes the role of attention allocation in dynamic asset pricing. Especially under the condition that investor's attention is limited, the relation between asset price fluctuation and information flow. By maximizing the utility of the investor, under the condition of limited attention, the problem of investor's attention distribution in the current period is to minimize the variance of the next dividend payment. Minimizing uncertainty in the future allows investors to make more effective consumer decisions. When market factors are more uncertain than industry factors and assets themselves, investors will assign more attention to market factors. Because this brings greater utility. In the part of empirical analysis, this paper uses the daily realized volatility of the national debt index to measure the macroeconomic shocks that increase the uncertainty at the market level, and the daily realized volatility of the Shanghai stock index is used to measure the volatility of the market. The ratio of idiosyncratic variance to total variance of individual stock is used to measure the linkage between asset price and market. The distribution is the vector autoregression of the market volatility and the linkage between individual stock and market. Through their impulse response diagram, it is found that when the macro shock comes, the market volatility and the interaction between individual stock and market will first increase and then decrease. Finally, a reversal occurs. As a result, investors' attention does shift as the flow of information flows into the market changes, suggesting that investors' attention is limited. The empirical results are basically consistent with those based on theoretical analysis, that is, when uncertainty increases at the market level, investors with limited attention will shift more attention to the information processing of uncertainty of market factors. When uncertainty at the market level lessens a few days later, investors turn their attention back to the processing of information about the assets themselves.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.91;F224

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