中文摘要：

本文利用上市公司财务报表附注中主营业务收入的分行业信息，将证券市场信息传递的“摩擦”进行量化，从而考察投资者有限注意对行业信息扩散及未来股票收益的影响。研究发现，相比单一公司，集团公司股价对行业信息的反应更慢。基于这一现象构建的对冲策略每月可获得约1．4％的收益。接着本文证明了这一收益的预测性与个股、行业层面的动量效应以及投资者的过度反应无关，而是源自投资者有限的关注度和有限的信息处理能力。这一预测性在历史收益较低、换手率较低、被较少专业投资者持有、估值复杂度较高的股票上更显著。

英文摘要：

We exploit segment sales information contained in the appendix of listed firms＇ annual financiai report to quantify the frictions in the diffusion of information in the stock market and investigate how investors＇ limited attention impacts information incorpora- tion into stock prices. The results show that conglomerate firms respond more slowly to in- dustry-level information than standalone firms. A long/short strategy based on this effect generates returns of around 1.4% per month. We further show that this return predictability is not driven by stock momentum, industry momentum or investors＇ overreaction. The pre- dictability becomes more pronounced for firms with poor market performance, lower turn- over, lower fraction of sophisticated investors＇ ownership and firms that are harder to value, indicating the impact of limited attention and limited processing ability on information diffusion and stock prices.