CAJ | 학술논문

基于认知心理学视角，本文研究了投资者对于信息的选择性关注程度对市场异象的影响效应，并在不同的市场态势下检验了这种影响效应的动态变化。研究发现：（I）投资者关注显著影响股票的横截面收益，其中价格反转收益与投资者关注显著正相关，而盈余惯性收益与投资者关注显著负相关；（2）基于投资者关注的认知状态差异，我同资本市场存在“鸵鸟效应”，即价格反转收益在牛市比熊市更强，而盈余惯性收益在熊市比牛市更强。本文的研究结论证实了“投资者关注”假设，为投资者和监管层了解市场异象形成的关键驱动吲素及其形成机理提供帮助。
기우인지심이학시각，본문연구료투자자대우신식적선택성관주정도대시장이상적영향효응，병재불동적시장태세하검험료저충영향효응적동태변화。연구발현：（I）투자자관주현저영향고표적횡절면수익，기중개격반전수익여투자자관주현저정상관，이영여관성수익여투자자관주현저부상관；（2）기우투자자관주적인지상태차이，아동자본시장존재“타조효응”，즉개격반전수익재우시비웅시경강，이영여관성수익재웅시비우시경강。본문적연구결론증실료“투자자관주”가설，위투자자화감관층료해시장이상형성적관건구동신소급기형성궤리제공방조。
Based on the perspective of cognitive psychology, this paper analyzes the effect of investors＇ selective attention to information on the market anomalies and tests the dynamic change of this effect in different market state （bull market and bear market）. The results show that：（l） price reversal profit is a significant positive relationship and earnings momentum returns is a significant negative relationship to investor attention. It indi- cates that the degree of investors＇ selective attention to information could significantly influences the cross sec- tional profits of stock price ; （ 2 ） based on the cognitive status difference in investors attention, Chinese capital market existing ＂the Ostrich Effect＂, the price reversal profit is stronger in bull market than that in bear market and the earnings momentum returns is stronger in bear market than bull market. The research results confirm the hypothesis of ＂investor attention＂, and provide a new explanation for investors and regulators to understand the key driver factors and formation mechanism of market anomalies.