投资者偏爱地理位置近的上市公司的现象被称为地缘效应,其成因一直是资本市场中的一个未解之谜。本文以上海、天津、大连的3710名投资者为研究样本,从信息优势角度解释了地缘效应。研究发现,中国资本市场内部存在地缘效应;信息优势与地缘效应之间存在倒U型关系,即当信息优势小于临界值时,地缘效应随着信息优势的增强而增强;当信息优势大于临界值时,地缘效应随着信息优势的增强而减弱。研究认为随着信息优势强度的增加,信息目标由少到多,信息涉及的上市公司由近及远,由此使得投资者投资的分散程度不断提高,这是信息优势与地缘效应之间呈现倒U型关系的主要原因。
Abstract
The phenomenon that individual investors prefer local stocks and overweight them is called home bias; and it is still a puzzle on the capital market. The individual investors of 3,710 from Shanghai, Tianjin, and Dalian are selected as samples, and based on information advantage, the home bias is tried to explain. The empirical results show that there is home bias inside Chinese stock market and there exists an inverted U-ship relationship between home bias and information advantage. The fact means that there is a critical value involving information advantage, when the information advantage is less than the critical value, the home bias is increasing with information advantage is enhancing; however when information advantage is larger than the critical value,home bias is decreasing with information advantage is enhancing. It is believed that with the strength of information advantage is enhancing, the targets of information are from more to less, the public companies that information involves is from far to near, and it will boost up investors' diversity and is the main reason for the inverted U-ship relationship.
关键词
地缘效应 /
信息不对称 /
投资偏好
Key words
home bias /
information asymmetry /
investment preference
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基金
本文得到国家自然科学基金"基于管理者行为特征的盈余管理约束模型研究(70772087,2007-2010)",中央高校基本科研业务费重大培育项目(DUT10ZD107)、人文培育项目(DUT10RW107)以及教育部新世纪优秀人才支持计划(2010)项目资助。
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