Investors Focus On The Effect Of The Excess Return On The Stock Market

Behavioral finance theory studies that investors to collect,identify and organize relevant stock information in the securities market,thereby directly affect the investment decision.Based on the investors focus on the behavioral finance research direction,in the aspect of building the investors focused on index in this paper,from the perspective of macro and micro,respectively selects the principal component method and take stock code as the key word to search index as investors focused on proxy variables,and explain the theoretical basis for the two kinds of proxy variables and effectiveness.In the empirical research part,in order to study the investors pay close attention to effect between index and the stock market excess returns.In this paper,from a different value of the stock market perspective,according to the linear and the nonlinear research direction,respectively discusses the investors focus on index under different value of the linear and nonlinear effect of the stock market.Results show that under different market value state,investors focused on index of the stock market has a positive role in promoting the excess earning,Moreover,the driving effect of the investor concern index on the market excess return is 1.85 times and 1.7 times of the influence of the low zone system,it shows that there is a clear threshold effect on the effect of investors' attention on their excess earnings in different stock market and the investor concern index has more influence on the excess returns of the stock market In the large-cap stock market,the threshold value of investor concern index is 1.2721,while in the small-cap stock market,the threshold value is 1.1650.Likewise,the research of panel smoothing model in different market value markets shows that when investors focus on transforming variables,the position parameters of large and small market conditions were 1.2473 and 1.2271.In total,the results shows that small-cap stocks are more sensitive to changes in investors' concerns.This is closely related to the performance and price trend of the company in the small market capitalization market and relatively small market value market stability is poor..In view of the above conclusions,the author puts forward relevant policy Suggestions to individual investors,financial institutions and securities market.