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| 文章编号：1672-3104(2012)03-0116-07 |
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有限注意、投资者行为与资产定价
--一个研究评述 |
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彭叠峰，饶育蕾，王建新 |
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（中南大学商学院，湖南长沙，410083） |
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| 摘 要： 回顾了过去十多年投资者有限注意研究的最新进展，整理出有限注意建模最重要的两条思路：理性忽视和注意力异质性，并且深入讨论该领域实证研究几大热点和趋势，即有限注意影响投资者交易，进而影响股价对特定事件或信息的市场反应，最终导致股票收益的可预测性。在综述已有研究的基础上，就这一领域的几个关键问题提出了构想，指出了今后进一步研究的方向。 |
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| 关键词： 有限注意；投资者行为；行为金融；资产定价 |
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Limited Attention, Investor Behavior and Asset Pricing: A Review |
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PENG Diefeng, RAO Yulei, WANG Jianxin |
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（School of Business, Central South University, Changsha 410083, China） |
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| Abstract: This paper reviews the new development of research on investors’ limited attention in the past decade. The authors first summarize two important models on limited attention which are rational inattention and attention heterogeneity, then discuss several trends of empirical studies in this field, including how limited attention affects investor trading decision and market price reaction to information or events, which lead to the predictive of stock return. Based on the literatures directions of the future researches in this field are recommened. |
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Key words: limited attention; investor behavior; behavioral finance; asset pricing |
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