Selective Attention,the Ostrich Effect and Market Anomalies
从认知心理学视角分析投资者对信息的选择性注意如何影响价格反转和盈余动量等市场异象，并检验该效应在牛市和熊市中的动态变化。
Based on perspective of cognitive psychology,this paper analyzes effect of investors' selective attention to information on market anomalies and tests dynamic change of this effect in different market state(bull market and bear market).The results show that:(1) price reversal profit is a significant positive relationship and earnings momentum returns is a significant negative relationship to attention.It indicates that degree of investors' selective attention to information could significantly influences cross sectional profits of stock price;(2) based on cognitive status difference in investors attention,Chinese capital market existing the Ostrich Effect,the price reversal profit is stronger in bull market than that in bear market and earnings momentum returns is stronger in bear market than bull market.The research results confirm hypothesis of investor attention,and provide a new explanation for investors and regulators to understand key driver factors and formation mechanism of market anomalies.