有限关注度下科技关联的定价作用 (The Role of Technological Links in Asset Pricing Under Limited Attention Assumption)

Chinese Abstract: 本文探讨了当投资者具有有限关注度时，因科技价值信息的延迟扩散带来的投资机会。在有限关注度假设下，投资者倾向于忽略企业间的科技关联，导致科技价值在同类科技公司中的传递产生延迟，从而带来投资机会。然而，在我国股票收益率受非理性因素影响过多，不适合用作科技溢出效应的代理变量。本文首次提出，分析师一致盈余预测修正比股票收益率更适合用来衡量上市公司的科技价值。本文根据上市公司持有的专利计算了不同公司间的科技关联，并结合分析师一致盈余预测修正设计了“科技修正因子”。通过该因子构建的套利组合可以获得1.00%的月均收益。本文不仅验证了科技关联在我国股票市场的信息传递能力，而且深入探讨了投资者有限关注度在此过程中起到的作用。本文发现科技修正因子的投资价值一方面来源于其能够预测未来的分析师一致盈余预测修正，一方面来源于其能够预测公司未来的盈余变化。本文首次将分析师行为信息与上市公司间的科技关联结合起来运用，该思路不仅有助于增加投资者对科技关联的应用，而且有助于更加充分地挖掘分析师行为信息的价值。

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Year of publication:	2019
Authors:	Li, Xuquan
Other Persons:	Zhang, Zili (contributor) ; Zhao, Xuejun (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Description of contents:	English Abstract: This pa ...

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