关键词: 有限关注, 特质波动率, 个体投资者

Abstract: This paper tests how the limited attention affects the pricing of idiosyncratic volatility in the Chinese share market. It is found that the negative correlation between idiosyncratic volatility and returns is significant in stock portfolio with high attention, while in stock with low attention, the correlation is weakening and even insignificant. In Fama and MacBeth (1973) regression, it shows the attention sharply reduces the pricing role of idiosyncratic volatility. By the Hou and Loh (2016) decomposition method, it is found that the limited attention is best explained for the idiosyncratic volatility riddle. A further study unravel that the traditional explanation cannot remove the role of limited attention in the pricing of idiosyncratic volatility. Hence, this paper reveals that the limited attention by investors may be the main reason causing the share market anomalies.

Key words: Limited Attention, Idiosyncratic Volatility, Private Investor