投資人關注對多空頭市場的不對稱效應研究

Asymmetric Effects of Investor Attention on Stock Returns in Bull and Bear Markets

近期諸多研究發現：吸引投資人目光的股票，其股價往往會上漲。然而，這些研究忽略了市場狀態所帶來的影響。究竟市場狀態是否及如何影響投資人目光？此議題尚未有充份的實證分析。為填補此知識缺口，本研究以臺灣上市公司為樣本，探討投資人關注於多空頭市場中對股票報酬的影響。實證結果發現：投資人對股票報酬所產生的關注效應，會因市場狀況不同而改變。關注效應於多頭市場中的影響幅度會強於空頭市場。此發現顯示，相較於空頭市場，多頭市場所吸引到的投資人目光，會有較多的比例轉為對股價的正向上漲壓力。隱含著投資人受市場氛圍的影響，較願意化為實際行動進入多頭市場購買股票，而非僅是觀望。

Using various proxies for investor attention, past studies find that attentiongrabbing stocks tend to experience positive price pressure. However, few studies consider the influences of market states. Whether market states affect investor attention has not been fully explored. To fill up the gap, this study explores the attention effect on stock returns across market states using a sample of firms in Taiwan. The findings show that the attention effect varies under different market conditions. Specifically, investors are relatively active when the market expresses good prospects. The attention effect of investors on stock returns is stronger in a bull market than in a bear market. This result suggests a rising stock market draws more investor attention that translates to positive price pressures than a declining stock market does. Therefore, the attention effect is found varying with market states.