Study Of Stock Billboard

Whether stocks appear daily on the stock income leaderboard list is one of the most distinctive features of a stock.Because of the limited attention of investors,they can only focus on a certain number of stocks.Among the wide range of things that attract investors'attention,the leaderboard is the easiest and most attractive information for investors.The leaderboard effect is thus formed.This paper uses the data of 2007-2018 stocks daily return to construct a monthly dummy variable to measure whether the stock has been on the leaderboard last month,divides the stock into four investment portfolios,and statistics the monthly average yield and annual cumulative rates of each group.We find that stocks ranked as daily winners and losers last month underperform those that did not make the rankings by 1.67%next month,and 5.37%at the end of the year.Both of which were significant at the 1%statistical level.Based on this phenomenon,three monthly dummy variables₇),and₇)are constructed.Using Fama-Macbeth cross-sectional regression,it is found that the three dummy variables that measure the stock ranking are significantly negatively correlated with the next month's earnings.Similarly,construct a monthly dynamic-adjusted portfolio NMB?buy stocks that are not on the leaderboard,sell stocks that appear both in the winner and in the loser list?,and the portfolio is tested by a series of factor models.A significantly positive intercept term can be obtained and a gain above the cumulative aggregate market return can be obtained during the inspection period.The article discusses the leaderboard effect under the different definition of returns,and finds that the leaderboard effect is the strongest when the closing price of the day is compared with the previous day's closing price as the definition of the daily return of the stock.It proves that the bad performance of the stocks in the rankings is indeed strongly influenced by the stock ranking.In addition,the stock ranking effect under different thresholds is tested for robustness.It is found that the threshold adjustment will not affect the main conclusions of this paper,and it is further found that the larger the stock threshold,the more dispersed investors'attention and the weaker the leaderboard effect,and vice versa.This paper further explores the relationship between trading activity and the stock leaderboard,finds that the dummy variable indicating that the stock is on the list is significantly positively correlated with the increase in the volume of the stock in the current month.Combined with the institutional investors'shareholding change data,there is no obvious correlation between the stock rankings and the institutional investors'holding rate.The side reflects that the rankings mainly attract the attention of individual investors.