可预测性
库存(枪支)
经济
计量经济学
金融经济学
衡平法
交易策略
反向的
货币经济学
数学
统计
地理
政治学
考古
法学
作者
Haidong Cai,Ying Jiang,Xiaoquan Liu
标识
DOI:10.1016/j.irfa.2022.102265
摘要
We develop a simple measure of investor attention by aggregating the number of days that a stock hits the upper or lower limit on a monthly basis. This attention proxy describes investor trading behavior and contains information of future stock returns. Using data from the Chinese equity market from 2002 to 2017, we provide extensive evidence that the investor attention captured by our measure negatively predicts cross-sectional stock returns, and the long–short trading strategy based on this attention measure produces significant economic value. We argue that the attention-motivated trading is the main cause behind the return predictability of aggregate limit-hits.
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