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Emerging Markets Finance and Trade Volume 50, 2014 - Issue sup3
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Original Article

The Effects of Individual Investors' Attention on Stock Returns: Evidence from the ChiNext Market

Xianming Fang Department of Finance and Insurance, Nanjing University, Nanjing, Jiangsu, China
,
Yu Jiang Department of Finance and Insurance, Nanjing University, Nanjing, Jiangsu, China
&
Zhijun Qian Hanqing Advanced Institute of Economics and Finance, Renmin University of China, Beijing, China
Pages 158-168 | Published online: 05 Dec 2014

References

  • Barber, B.M., and T. Odean. 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors." Review of Financial Studies 21, no. 2: 785-818.
  • Canbaş, S., and S.Y. Kandır. 2009. "Investor Sentiment and Stock Returns: Evidence from Turkey." Emerging Markets Finance & Trade 45, no. 4: 36-52.
  • Chan, W.S. 2003. "Stock Price Reaction to News and No-News: Drift and Reversal After Headlines." Journal of Financial Economics 70, no. 2: 223-260.
  • Da, Z.; J. Engelberg; and P. Gao. 2011. "In Search of Attention." Journal of Finance 66, no. 5: 1461-1499.
  • Fang, L., and J. Peress. 2009. "Media Coverage and the Cross-Section of Stock Returns." Journal of Finance 64, no. 5: 2023-2052.
  • Grullon, G.; G. Kanatas; and J.P. Weston. 2004. "Advertising, Breadth of Ownership, and Liquidity." Review of Financial Studies 17, no. 2: 439-461.
  • Hirshleifer, D., and S.H. Teoh. 2003. "Limited Attention, Information Disclosure, and Financial Reporting." Journal of Accounting and Economics 36, nos. 1-3: 337-386.
  • Hou, K.; L. Peng; and W. Xiong. 2009. "A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum." Working paper, Princeton University, Princeton, NJ (available at www.princeton.edu/~wxiong/papers/anomaly.pdf
  • Jin, L., and S.C. Myers. 2006. "R2 Around the World: New Theory and New Tests." Journal of Financial Economics 79, no. 2: 257-292.
  • Kahneman, D. 1973. Attention and Effort. Englewood Cliffs, NJ: Prentice Hall.
  • Lu, Y.-C.; Y.-C. Wei; and C.-W. Chang. 2012. "Nonlinear Dynamics Between the Investor Fear Gauge and Market Index in the Emerging Taiwan Equity Market." Emerging Markets Finance & Trade 48, supp. 1: 171-191.
  • Merton, R.C. 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information." Journal of Finance 42, no. 3: 483-510.
  • Peng, L., and W. Xiong. 2006. "Investor Attention, Overconfidence and Category Learning." Journal of Financial Economics 80, no. 3: 563-602.
  • Seasholes, M.S., and G. Wu. 2007. "Predictable Behavior, Profits, and Attention." Journal of Empirical Finance 14, no. 5: 590-610.
  • Van Nieuwerburgh, S., and L. Veldkamp. 2010. "Information Acquisition and Under-Diversification." Review of Economic Studies 77, no. 2: 779-805.
  • Wang, C.-P.; H.-H. Huang; and Y.-W. Chen. 2012. "Investor SAD Sentiment and Stock Returns in Taiwan." Emerging Markets Finance & Trade 48, supp. 2: 40-57.
  • Yuan, Y. 2011. "Attention and Trading." Working paper, Wharton School of the University of Pennsylvania, Philadelphia (available at www.ckgsb.com/Userfiles/doc/YuYuan_6Dec2011.pdf

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