题目：Attention Diffusion and Momentum Spillover

主讲人：李少然

时间：2023年10月27日（周五）14:00-15:30

地点：北京师范大学湾商国际商学院励耘楼B312

摘要：

This project compares the momentum spillover effects detected by different linkage networks in the A Market and concludes that most connectivity documented in the past literature can be unified by the cross-firm momentum driven by the news-comention linkage. In other words, like the analyst momentum in the US market, a series of momentum spillover effects lose their predictive power after controlling for the media-implied momentum. We further separate the undirected news-comention network into directed sub-networks, including Lead-follower and Peer-effect networks. Empirical evidence shows significantly contrasting behavior of sub-networks' momentum spillover, depending on leaders or peers to follow. We finally analyse the mechanism behind these phenomena.

本项目由两篇文章组成，旨在探究A股市场的“动量溢出”效应与投资者注意力之间的联系。我们通过百万条财经新闻数据构建了两个数据库，即“新闻共现数据库”与“文本领先滞后网络数据库”。其中，第一个数据库产生的关联网络可以主导现阶段学界业界其他常用的A股个股关联网络，更好地刻画市场上存在的“动量溢出”效应。而第二个数据库让我们有机会更深入地了解动量溢出效应产生的原因和投资者获取信息的特点。

个人简介：李少然，北京大学经济学院金融系助理教授、博导。主要研究方向为金融计量，资产定价，投资组合管理，机器学习。已在Journal of Econometrics，Journal of Business & Economic Statistics、Journal of the Royal Statistical Society等期刊发表论文。主持国家自然科学基金青年项目一项。