Earnings Announcement,Individual Investor Attention And Stock Prices

Until the 1980 s,classic financial theories based on the efficient market hypothesis and the rational man hypothesis wasdominated.However,after more than ten years,a large number of academic researchers found that financial "vision" such as scale effect,the reversal effect and surplus effect,couldn't be reasonable explained by traditional financial theory.Traditional financial theory is facing more and more questions and challenges.Behavioral finance had broken the rational man hypothesis and studied investor behavior from the angle of attention distribution mechanism and its limited extent and based on psychology.It gave a reasonable explanation of the "vision" of the market,and gradually formed a mature theoretical framework.The influence of attention distribution on the behavior of individual investors and the final impact on the stock price become the focus of academic research.In today's information explosion,market investors face a huge amount of market information every time.The finiteness of attention in behavioral finance means that investors have to digest certain information at the same time they have to give up some other information.The earnings announcement contains the financial information of listed companies valued by a large number of investors.In the face of mass information,it is difficult for investors to interpret the information effectively and effectively,resulting in the delayed reflection of the surplus information and the phenomenon of price drift.At the same time,according to China's securities market,listed companies need to promptly leak the surplus information in a fixed time period.However,in the real stock market,a large number of listed companies are focused on issuing announcements before the deadline,resulting in the disclosure of surplus information.So does the intensity of the earnings announcement affect the distribution of attention and ultimately the stock price? Stock abbreviation,more concise and easy market information,whether has an impact on investors' attention?All of these need to continue further research.Therefore,this paper focuses on the attention distribution of individual investors and introduces the stock name variables.In this paper,the method of event study andthe unbalance index of order flow with high frequency data are used to regression analyses which is used to explore the influence of the attention distribution of individual investors on the stock price during the earnings announcement period.Furthermore,the effect of the intensity of surplus announcement on individual investors and stock price is further investigated.The main conclusion of the study is that when investors make investment decisions,the stocks with higher surprise earnings tend to be accompanied by higher trading volume,which will attract the attention of individual investors,while individual investors will show significant net buying behavior.The net buying behavior of the individual investors during the announcement will put pressure on the stock price to increase the share price during the announcement.After the earnings announcement,its prices showed a reversal effect.Then the paper studies the phenomenon of stock price drift.The result shows that there is a phenomenon of price drift in China's stock market,and the high attention of individual investors to the stock makes it show significant net buying behavior,which will make the stock price more strongly reflect the unexpected surplus in the short term.However,after the earnings announcement,as individual investors received more market information,the focus on the stock gradually weakened,and the stock price drift was less sensitive to the surplus information.Finally the stock name as investors focused on the influence of factors,referred to as "was found to contain" technology ","high-tech" and other social attention hot word stock more attractive to investors.In the short term,the dense release of earnings announcement leads investors to be distracted by a large number of market information,which makes it unable to deal with all information in a timely manner,and ultimately weakens the reaction speed and interpretation ability of market participants to information.But in the long run,investors will in other areas of attention in the stock market to cope with massive amounts of information.This will strengthen the investor willingness to interpret information,eventually improve the rationality of investment decision-making.