| With the development of Internet technology,the channels of information dissemination are becoming more and more abundant,including not only traditional media such as newspapers and televisions,but also explosive growth through the rapid development of Internet platforms.Technological advances have greatly enriched information resources,and people’s access to information is more diverse,convenient,and fast.The vast Internet information has an increasingly important impact on people’s decision-making and judgment.In the field of investment,the Internet has gradually entered people’s lives,and investors are increasingly inclined to access information and exchange ideas through the Internet.How to measure investor attention is a focus and key in behavioral finance research.A new measure of investor attention from the perspective of Internet information mining is not only a supplement to behavioral finance research,but also perfects the research on the factors influencing financial anomalies.Based on the individual posts from December 2014 to November 2017 in the East Money Stock Forum,we give a new measure of investor attention and study the effect of it on financial anomalies.The financial anomalies we choose mainly include: size effect,book-to-market effect,reversal effect,lottery effect and illiquidity effect.First of all,we use Fama-Macbeth cross-sectional regression to verify that investor attention is a risk factor for stock returns,and that the risk coefficient is significantly positive and confirms its validity.Furthermore,on the basis of the establishment of multi-space strategy according to company characteristic variables and calculation of crosssectional income difference to verify the existence of financial anomalies of China’s stock market,we analyze the effect of investor attention on size effect,book-to-market effect,reversal effect,lottery effect and illiquidity effect by means of two-dimension portfolio analysis methods.The results show that investor attention have the positive impact on size effect,book-to-market effect,reversal effect,lottery effect and illiquidity effect owing to noise traders’ over-buying behavior of stocks attracting relatively higher investor attention and short-selling obstacles making arbitrage hard and mispricing persistent.Our findings demonstrate that the influence of investor attention on financial anomalies has commonalities,that is to say,financial anomalies are stronger for stocks attracting relatively higher investor attention.In addition,we analyze the timeliness of its impact,and the results suggest that the positive impact of investor attention on financial anomalies has a certain persistence,and its role weakens or loses stability over time.Our research conclusions show that investor attention is one of the important factors that cannot be ignored in the pricing of securities.Our research is not only a useful supplement to the research on the factors affecting financial anomalies in emerging markets,but also provides a certain reference value for policy makers to formulate regulatory policies,and provides an effective basis for stock market investors to establish investment strategies. |
