| China has been committed to the reform of the securities market.The establishment of the Shanghai Stock Exchange STAR Market and the trial of the registration-based IPO mechanism are one of the important measures to deepen the reform of the securities market.To implement a registration-based IPO mechanism centered on information disclosure in the SSE STAR Market,it needs to be accompanied by a targeted information disclosure system.The importance of information disclosure to the capital market is self-evident.To improve the market information disclosure system,we must consider not only the company’s behavior on the information disclosure side,but also the investor’s behavior on the information reception side.Investors’ attention is limited,it is impossible to pay attention to all market information,and investors will reasonably and effectively distribute their attention.Only by fully understanding the characteristics that investors pay attention to can we better promote the improvement of the information disclosure system.A lot of research has been done on the theory of limited attention.Kahneman(1973)first proposed the concept of limited attention,and Simon(1971)believed that it was the abundance of information that led to the lack of attention.In the era of the information explosion,individuals receive massive amounts of information,and individuals have limited resources and capabilities when processing information.Investors will respond more fully to information of high concern.As Barber &Odean(2008)pointed out,stocks that attract attention are more likely to be included in buying decisions by investors,leading to more buying behaviors of investors and causing stock prices to rise.Due to the limited attention span,the distribution of investor attention will profoundly affect investor decision-making.The most important and difficult part of conducting research on this is the measurement of“attention”.Since investor attention is difficult to accurately measure,most of the existing literature uses indicators such as abnormal trading volume,abnormal yield,news reports and search indexes of individual stocks to characterize investors’ attention to individual stocks to study the impact of limited attention on stock returns.The literature on these limited areas of focus has studied the differences in investor attention at the level of individual stocks,that is,the horizontal distribution of attention.However,the distribution of investor attention is not only reflected in the difference in the cross-section of individual stocks’ attention,but also shows changes in time series.Investors’ attention to the stock market will change over time due to the interference of various information and things.However,research in this area is relatively scarce,especially in the unique institutional environment of China’s stock market,there will be differences in the influence mechanism of market attention.Therefore,this article will also study the time-level difference of investors’ attention to China’s stock market,that is,the vertical distribution of attention.Based on this,this article summarizes the two dimensions of investor attention distribution,one is the horizontal distribution of investor attention—the cross-sectional difference of individual stock attention,and the other is the vertical distribution of investor attention—the time series difference of market attention.,And measure the difference of attention in two dimensions.Existing attention measurement indicators,such as abnormal trading volume,abnormal return rate,news reports and search index,etc.,are difficult to exclude the influence of the information factors contained therein,and it is impossible to obtain a clean causal relationship.In order to overcome the difficulty of investor attention measurement,this paper based on China’s unique stock market system and characteristics,exogenously distinguishes the difference of investor attention in cross-section and time series,and provides clean and direct evidence for the limited attention theory.This article divides the research framework into three parts from the perspective of investor attention distribution: firstly,it studies the impact of horizontal distribution of attention(differences in the degree of attention of individual stocks)and vertical distribution(differences in market attention)on stock returns,and finally focuses on the horizontal distribution of attention.The two dimensions of distribution and vertical distribution are combined to study the influence of the cross-sectional difference of individual stock attention with the change of market attention.The specific research content is as follows:First,this article studies the impact of horizontal distribution of investor attention(differentiation of individual stock attention)on stock cross-sectional returns.The most difficult research about the difference in the attention of individual stocks is to distinguish the attention of different stocks(portfolios)exogenously and remove the influence of stock fundamental information.This article uses the daily limit system of the Chinese stock market to divide the stocks that are the same daily limit into two groups before and after due to random ordering.The top-ranked daily limit stocks are more easily observed by investors,have higher individual stock attention,and are exogenous.Distinguishes cross-sectional concerns between daily limit stocks.The study found that the top 30% daily limit stocks were 0.68% higher than the last 30% daily limit stocks on the next day,and the top daily stocks had higher net inflows the next day.This validates the theory of Barber & Odean(2008).By identifying the trading behaviors of institutional investors and individual investors,it is found that both individual investors and institutional investors will be affected by limited attention,and they are more inclined to buy top-ranked daily limit stocks.Next,it studies the distribution of investors ’attention to the cross-section of stocks,and verifies the existence of the primary and near-effect effects.It shows that the main source of the difference in attention is the investor ’s habit of ranking perception,not the ‘income rankings’ reported by the media List effect.Furthermore,we have further studied which factors will influence the mechanism of the cross-sectional difference of the degree of attention.On the one hand,it is found that the impact of cross-sectional differences in attention on individual investor decisions will be strengthened by the information waterfall.Individual investors will follow the movement of institutional funds and are more inclined to buy stocks with high net investment in institutional funds.However,this behavioral strategy of individual investors has not been able to obtain higher returns.On the other hand,the impact of cross-sectional differences in attention on the individual investor’s decision-making will be reduced due to distraction.The more the daily limit of stocks on the day,the more distracted investors’ attention will be.This paper verifies the dispersive effect of investors’ attention by examining whether the difference in cross-sectional returns between the two groups of daily limit stocks before and after the ranking changes with the daily limit stocks.Finally,I studied the possible impact of different daily limit patterns.Because the daily limit stocks may be manipulated,in order to rule out that the results of this article are caused by the manipulation of some institutions or savvy investors,we examine the one-word daily limit,the T-shaped daily limit,and the continuous daily limit.There are no obvious signs of manipulation in the distribution of the daily limit stocks in a special form in the daily limit stock rankings.Second,this article studies the impact of vertical distribution of investor attention(market attention difference)on stock market returns.Due to the differences in investor structure and behavior characteristics in the Chinese stock market,the influence mechanism of market attention on investor behavior is different from previous literature.Based on the Chinese stock market,this article uses the Shanghai and Shenzhen 300 index innovation high event as an event that attracts market attention,and uses the Shanghai Stock Index innovation high event and the Shenzhen stock index innovation high event to control economic fundamental information.After testing the Shanghai and Shenzhen 300 index innovation high,the next day is integrated A-share market rate of return.The study found that the impact of market attention on market returns is closely related to the recent number of index highs.When the number of recent index highs is low,the index high event will cause the next day’s market rate of return to rise,and when the recent number of index highs is high,the index high event will instead reduce the next day’s market rate of return.It was further found that the behavioral characteristics of individual investors and institutional investors under the index innovation high are opposite.Individual investors are more inclined to buy net when the number of recent index innovation highs is higher,while institutional investors tend to sell net.This is because the recent high number of index innovations reflects the different trends of individual investor sentiment and institutional investor sentiment.Third,this paper studies the cross-effects of vertical and horizontal distribution of investor attention on stock cross-sectional returns.This article combines market attention with individual stock attention,and studies the cross-sectional attention difference of individual stocks with the overall market attention.First of all,this article studies the impact of changes in market attention on the differences in the attention of individual stocks,and finds that when the market attention is high,the difference in the next day’s return of the two groups of daily limit stocks before and after the ranking increases significantly.It proves that the increase in market attention has led to a significant increase in the difference between the attention of individual stocks.The head effect of individual stock attention is stronger when the market attention is high,showing the phenomenon of "the strong are stronger".Further explore the stock selection preferences of individual investors in the high market attention from the three perspectives of scale,value,and follow.It is found that individual investors prefer large market value,low valuation,and low valuation among the top-ranking daily limit stocks when the index hits a new high.Inflows of stocks from high institutions.Then explore the mechanism of this phenomenon of "the stronger the stronger".This article believes that this is due to the significant increase in the number of active investors when the market is concerned,which leads to an increase in the difference in the degree of attention of individual stocks.Finally,this article uses China’s daily limit system to verify the weekly calendar effect of investors’ attention.By comparing the changes in the yield difference between the two groups of daily limit stocks before and after the ranking in the next week,it is found that Friday’s investor’s rating before and after the ranking The difference in the attention of individual stocks with daily limit stocks has been significantly weakened,indicating that the market attention of investors on Friday has dropped significantly.Further observation of the results in the sample of trading days when the index is close to the daily limit,it is found that the weekly calendar effect of investors’ attention is more obvious when the market attention is high,and the attention on Friday is lower than other dates.This paper summarizes the two dimensions of investor attention distribution through literature review,studies the effects of horizontal and vertical distribution of attention on stock returns,summarizes the research framework of limited attention theory and provides new research perspectives.In the past,the literature mostly studied the influence of the difference in the attention degree of individual stocks based on the horizontal distribution of attention,but there was insufficient research on the vertical distribution of attention,that is,the market attention degree,especially in the Chinese stock market.This paper finds that under the unique characteristic environment of China’s stock market,market attention presents different influence mechanisms,which expands the theory of market attention.In summary,based on the perspective of attention distribution,we can study the impact of various investor behaviors on the effectiveness of the stock market under limited attention in a more three-dimensional manner,which will help regulators understand the logic of various investor behaviors and regulate investors-especially institutions.Trader’s trading behavior,thereby establishing a more complete market system. |
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