Investor Attention And Post-Earnings-Announcement-Drift

The advent of Internet technology has accelerated the pace of global information, information production and dissemination capabilities now human society was increasing geometrically, but individual improved information processing capability is very limited. High-density information environment so that attention scarcity increasingly prominent, affect investor attention configuration is also concern about the financial markets.Based on the systematic review of domestic and foreign scholars on the basis of limited investor attention in the field of research, the first time the attention of investors to the proxy variable fitting 360 Index based approach from the perspective of behavioral finance, studied from 2013 to 2015 years of existence of the operating characteristics of the market-earnings announcement Drift GEM country, and further analysis of factors that influence investors' attention and the attention and influence the internal mechanism of the effect of earnings announcements. The main methods and conclusions of the study are summarized as follows:The first part, based on the introduction of investor attention and lagged variables, using the improved three-factor model checking concern index correlation with stock turnover, turnover. The empirical results show that investors are concerned about the degree of activity of stock trading has a significant positive stimulus, observed the presence of the GEM market investors "attention-driven transaction" behavior, and to some extent confirmed 360 index as a note credibility force proxy variables.The second part, the event study and panel data regression test combination, was found GEM immediate reaction to earnings announcements and messages over long-term reversal. In order to investigate the effect Earnings Announcement and Investor Relations attention, on the basis of the classical model of investor attention on the introduction of the variable. The results showed that the attention of investors and the cumulative excess returns in the presence of a significant positive correlation [0,1] period, while in [2,61] period was a significant negative correlation. I believe that the attention of investors during the period that is under the influence of factors such as the heterogeneity of investors, share prices reflect excessive; long-term, investors will focus on the stock market to accelerate the diffusion of messages between investors and reduce asymmetric information, help stock prices faster return to a rational level.The third part first discusses several key factors affecting investor attention, investors found containing "technology", "Hi-Tech" and other words of shares of listed companies have a short attention configure preferences. Subsequently, the use of investor distraction model, the observed earnings announcement conference dense significant dispersion investor attention, resulting in stock price and immediate reaction decreased; but the stock level in the long term drift with the previous disclosure of the number of negative earnings announcements, I believe, mainly due to the outbreak of the information by the market investor stimulation, originally arranged in the other areas of life cognitive resources in the long run more configuration in the securities investment market, making investors to market information gathering and interpretation capacity enhancement. That is in the study of investor attention and securities markets, investors need to focus attention not only on the configuration of the limited nature of the objective, but also pay attention to the investors in the subjective "configuration wishes."...