| 讲座简介： | We develop a simple measure of investor attention by aggregating the days that a stock hits the upper price limit on a monthly basis. This attention proxy describes investor trading behavior and predicts the cross section of stock returns. Using data from the Chinese equity market from 2002 to 2017, we show that the investor attention captured by our measure negatively predicts cross-sectional stock returns in the following months. We perform a range of robustness tests and confirm that the return reversal is not due to firm characteristics, common risk factors, investor sentiment, or other attention indicators. Finally, we argue that the attention-motivated trading is the main cause behind the return reversal. |
