Research On The Influence Of Investor Attention And Investor Sentiment On Stock Returns

China has entered the information age,the Internet has become an important channel for people to collect information and share information.Relying on the development of the information age,financial platforms have become the main channels for investors to obtain information and make investment decisions.The proportion of individual investors in China’s stock market is increasing.Due to the lack of professional knowledge,the main channel for them to obtain information is the news and dynamics of the industry and company released by major financial platforms and the stock comments issued by investors on the platform.These contents will greatly affect the price transmission mechanism of the stock market.Therefore,it is of great significance to clarify the correlation between stocks on the basis of stock reviews and study the impact of investors’ attention and sentiment reflected in stock reviews under the correlation structure on stock returns.This paper selects the stock comments of the sample stocks of the Shanghai 50 Index from January 1,2022 to August 31,2022 as the research object to study the impact of investors’ attention and sentiment on stock returns.This paper studies the impact of investors’ attention and emotions on stock returns from two aspects of theoretical analysis and empirical research.In terms of theoretical analysis,this paper elaborates the impact of investor attention on stock return based on the limited attention theory,and elaborates the impact of investor sentiment on stock return based on the emotional cognition theory.In terms of empirical analysis,firstly,the impact of investor’s attention and emotion on stock return rate was studied.Firstly,Fama-Macbech regression was carried out on 50 sample stocks of Shanghai Stock Exchange as a whole,and it was found that since the correlation between stocks was not considered,the impact of investor’s emotion and attention on stock return rate was not significant.Then,the Fama-Macbech regression is carried out according to the stock groups determined by the stock correlation relationship,and it is found that investor attention and investor sentiment have a significant positive impact on the stock return rate,so the stock correlation relationship is one of the influencing factors of the stock return rate.The investor attention of the third type of stock has the greatest impact on the stock return rate,the investor attention of the second type of stock has the least impact on the stock return rate,the investor sentiment of the fourth type of stock has the greatest impact on the stock return rate,and the investor sentiment of the fifth type of stock has the least impact on the stock return rate.Secondly,this paper determines the stock grouping from the perspective of last month’s economic index performance and stock correlation,and uses the extended five-factor model to study the impact of investors’ attention and sentiment on stock returns under different stock grouping methods.It is found that the expanded five-factor model under the two stock portfolio determination methods is applicable to the SSE-50 sample stock market,and there is no factor redundancy,so the addition of investor concern factor and investor sentiment factor is helpful to further study the formation mechanism of stock return of SSE-50 sample stocks.There are significant market risk effect,scale effect,value effect,emotion effect and attention effect in the 50 sample stock markets of Shanghai Stock Exchange.The extended five-factor model of stock portfolio based on stock correlation has stronger explanatory power and more obvious attention effect.In order to improve the effectiveness of stock information,the rational degree of investors and regulate the capital market,the following suggestions are put forward:As for financial platforms,the publication of stock comments should be regulated to prevent the appearance of irregular comments,including the use of big data to monitor user comments;Offering stock investment related courses and interesting games;Shows the expertise of stock reviewers;From the perspective of investors,we should improve the channels for investors to obtain information,including selecting the official platforms of national or government organs and authoritative institutions to obtain information,strengthening the professional quality of investors,and cultivating investors’ rational investment concept.As far as government regulators are concerned,the quality and transparency of information disclosure by listed companies should be improved.It includes strengthening the information disclosure supervision of the Securities Supervision Commission,improving the supervision of relevant departments on relevant intermediaries,strengthening the compliance management of listed companies,and strengthening the corporate autonomy.