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

投资者关注和股票市场的波动性

作者：Daniel Andrei, Michael Hasler

摘要：我们研究了在理论框架下投资者对消息的关注和学习不确定性二者对于资产定价的共同作用。这一模型提供了两种主要的预测。首先，股票回报的波动性和风险溢价随关注度和不确定性一同增长。第二，这种增长关系是二次的。我们实证分析了两种预测，并提供了支持增长关系的数据。二次关系的证据是混合的。总的来说，我们的研究从理论上和实证上表明，关注和不确定性都是资产定价的关键因素。

关键词：资产价格，风险，股票市场，股票回报，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

原文链接：

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

翻译：孙雨琦