Journal of Financial Economics·Volume 129, Issue 1·July 2018

股市如何吸收冲击？

作者：Murray Z. Frank（Carlson School of Management, University of Minnesota）

Ali Sanati（Kogod School of Business, American University）

摘要：通过对新闻报道的综合性理解，我们发现市场对正面和负面的价格冲击以及新信息的反应显著不同。当出现有关公司的新闻报道时，积极的价格冲击随之出现逆转，而负面的冲击则导致偏差。这被解释为股市对好消息的过度反应和对坏消息的低反应。考虑到散户投资者与注意偏差的相互作用以及短期资本约束下的套利者，这些看似矛盾的结果可以在单一框架中解释。与这一假设一致，我们发现当注意偏向更强时以及套利资本稀缺时，两种模式都更强。

关键词：股票收益可预测性，新闻，套利限制，有限关注，过度反应，反应补足，文本分析

How does the stock market absorb shocks?

Murray Z. Frank（Carlson School of Management, University of Minnesota）

Ali Sanati（Kogod School of Business, American University）

ABSTRACT

Using a comprehensive set of news stories, we find a stark difference in market responses to positive and negative price shocks accompanied by new information. When there is a news story about a firm, positive price shocks are followed by reversal, while negative ones result in drift. This is interpreted as the stock market overreaction to good news and underreaction to bad news. These seemingly contradictory results can be explained in a single framework, considering the interaction of retail investors with attention bias, and arbitrageurs with short-run capital constraints. Consistent with this hypothesis, we find that both patterns are stronger when the attention bias is stronger, and when the arbitrage capital is scarce.

Keywords: Stock return predictability, News, Limits to arbitrage, Limited attention, Overreaction, Underreaction, Text analysis

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18301004#!

翻译：何杉