The Impact Of Investor Attention And Media Effects On Stock Returns

Investors’attention has attracted much attention in the field of finance.Only the information that investors pay attention to or reported by the media can be reflected in the stock market.However,it is very difficult to measure investors’ attention directly by variables.With the continuous development of big data applications,it is possible to measure investors’attention by investor’s search volume in the network.This variable has been widely used in financial research.However,the existing literature seldom considers the use of online search volume to measure the difference of search in different periods of investors’attention.This makes the results of the study likely to be quite biased.It can be seen that search heterogeneity is of great significance to the study of behavioral finance and the impact on the stock market.The research sample selected in this study is the CSI 300 index component stocks from March 2,2012 to November 24,2017.And download the corresponding index data with the stock code as the key word from Baidu Index.At the same time,apply the relevant theories of investor attention and media attention as the theoretical support of this study.Based on the analysis of relevant theories,relevant hypotheses are put forward,and the models of investor concern and stock return,media attention and stock return are established.It also analyses the impact of the two on stock returns and the adjustment role of media attention in them.The main conclusions of this paper are as follows:（1）The three new variables proposed by the time distinction of online news search can not be reasonably explained by other variables,so it can measure the investors’ attention of heterogeneity;（2）In this period,the investors’attention is positively correlated with the stock return,and in the future,only the proportion of weekend search is still correlated with the stock return.Positive correlation,the relationship between workday and weekend attention and stock returns will be reversed;（3）The more stocks the media focus on,the lower their returns will be.Institutional investors buy more stocks,and the higher their income is.The more stocks retail investors buy,the lower their income.This shows that retail investors’ investment awareness and judgment are not as good as institutional investment;（4）By differentiating search types,news-oriented search will lead to a decline in stock prices,while spontaneous search will lead to a rise in stock prices.As can be seen,attention is interacted between media and investors.