The review of Financial Studies·vol28, No.1·January 2015

投資者關注和股票市場的波動性

作者：Daniel Andrei, Michael Hasler

摘要：我們研究了在理論框架下投資者對消息的關注和學習不确定性二者對于資産定價的共同作用。這一模型提供了兩種主要的預測。首先，股票回報的波動性和風險溢價随關注度和不确定性一同增長。第二，這種增長關系是二次的。我們實證分析了兩種預測，并提供了支持增長關系的數據。二次關系的證據是混合的。總的來說，我們的研究從理論上和實證上表明，關注和不确定性都是資産定價的關鍵因素。

關鍵詞：資産價格，風險，股票市場，股票回報，不确定性

Investor Attention and Stock Market Volatility

Daniel Andrei, Michael Hasler

ABSTRACT：

We investigate, in a theoretical framework, the joint role played by investors' attention to news and learning uncertainty in determining asset prices. The model provides two main predictions. First, stock return variance and risk premia increase with both attention and uncertainty. Second, this increasing relationship is quadratic. We empirically test these two predictions, and we show that the data lend support to the increasing relationship. The evidence for a quadratic relationship is mixed. Overall, our study shows theoretically and empirically that both attention and uncertainty are key determinants of asset prices.

Keywords：Asset Price; Risk; Stock Market; Stock Returns; Stocks; Uncertainty

原文鍊接：

http://rfs.oxfordjournals.org/content/early/2014/09/08/rfs.hhu059.short

翻譯：孫雨琦