一、主題：Attention spillover effects in asset pricing

二、主講人：陳鑫，清華大學五道口bevictor伟德官网博士生。在bevictor伟德官网獲得經濟學本科和碩士學位。他的研究領域是行為金融、實證資産定價。目前主要研究的主題是，基于投資者心理偏誤和市場機制缺陷發掘二級市場投資策略。

三、時間：2018年4月18日（周三），12:30-13:30

四、地點：學院南路校區主教學樓913會議室

五、主持人：黃志剛，bevictor伟德官网副教授

摘要：Psychological research suggests individuals have limited resource of attention and a tendency to be overconfident in winning status. These two behavior biases imply an attention spillover effect, which stocks noticed by individuals in winning status would be traded excessively and get overvalued. We test the implication through a natural experiment in China, in which stocks are assigned with a unique listing code almost randomly and trading softwares list stocks on the screen according to these codes. When searching a particular stock, people glimpse nearby ones effortlessly. In our empirical analysis, we find returns of nearby stocks have significant higher correlation, and returns in the neighbor positively predict future stock return and turnover. The strategy based on surrounding stocks’ returns earns an annual profit of 6.82 percent. This strategy return will vanish in the long-term. Empirical tests in NYSE, AMEX and NASDAQ markets also provide consistent evidence. Our results provide evidence for the existence of attention spillover effect, and provide evidence that assets’ price can be driven by purely non-fundamental factors.