证券信息交流家乡偏误及其对股票价格的影响:来自股票论坛的证据

被引：45

作者：

董大勇

肖作平

机构：

[1] 西南交通大学经济管理学院

来源：

管理世界 | 2011年 / 01期

基金：

高等学校博士学科点专项科研基金;

关键词：

家乡偏误; 信息交流; 有限注意; 股票论坛;

D O I：

10.19744/j.cnki.11-1235/f.2011.01.008

中图分类号：

F832.51 []; F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

本文选用沪深A股中注册地在四川和辽宁两省的109家上市公司数据和东方财富网股吧发贴数据,对信息交流中"家乡偏误"的存在性、影响因素及其对资产定价的影响进行了研究。实证结果表明:证券信息交流中存在"家乡偏误"现象,股票论坛中投资者以更大的概率参与本地股票信息的交流;在有限注意作用下,公司基本面、业务本地化程度对信息交流"家乡偏误"产生影响,每股收益对本地交流比例具有显著负向影响,而公司业务的本地化比例对本地交流比例有显著正向影响;信息交流"家乡偏误"对股票价格有显著影响,信息交流的本地投资者比例越大,股票价格越高。

引用

页码：52 / 61+188 +188

页数：11

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