Research On The Relationship Between Investor Attention Heterogeneity And Stock Performance

In the eighties of last century,behavioral finance questioned the perfect rational person and the effective market hypothesis of the classical financial theory from the perspective of psychology and behavior theory.It argues that the price of the securities is not entirely determined by the intrinsic value of the assets but greatly influenced by the behavior of the investors.The latest research shows that investor attention,investor psychology and the investment decisions driven by these factors play a decisive role in the formation and change of securities prices.In the real financial environment with asymmetric information,the information is reflected in the stock market only when it is paid attention by investors.The massive information in the new media era highlights the lack of human attention resources,which makes the research about investor attention is particularly importantin the field of behavioral finance.However,the current research has not fully taken into account the impact of information source differences,attention heterogeneity and investor psychology on the relationship between investor attention and stock performance,which will lead to the deviation of the research conclusions.Therefore,the in-depth study of the complex mechanism behind the impact of investor attention on the stock market is not only of great theoretical significance,but also of great practical significance to stock investors,listed companies and financial regulators.Based on the theory of information asymmetry,limited attention,attention distribution,search cost and investor sentiment,this study selects the Baidu Index,360 Index,Hexun Index and Sina Weibo Index as the proxy variables of investor attention.Taking the stocks of A-share market in China as the sample,this paper puts forward the corresponding research hypothesis and analyzes the deep relationship between investor attention and stock performance.By using contingency concept to check the influencing factors such as information source,attention time and investor psychology,this paper analyzes the impact of those factors on the stock performance.The main research contents and innovative points of this paper are as follows:(1)This paper discusses the impact of information source on the relationship between investor attention and stock performance,basing on the proxy variables of investor attention.The research shows that investor attention from different sources of information has significantly different impact on the performance of individual and industry stocks.Attention from Searching and Weibo is significantly and positively correlated with the current trading volume and turnover of individual stocks,but Hexun’s is negative;attention from Searching and Weibo is significantly and positively correlated with the current stock returns and reversed in the next period;the impact of different investor attention from different information sources on the stock performance there is a huge difference.Research deepens the understanding of investors’ information behavior and enriches the relevant theories and empirical research results of investor attention on the stock performance.(2)This paper investigates the impact of investor attention heterogeneity on stock performance,by building the heterogeneity proxy variables from two dimensions of information sources and time.This paper argues that there are differences in attention under different scenarios,and studies show that the heterogeneity of investor attention has a significant impact on the stock performance.Attention from Searching and Hexun on weekdays and weekends is positive correlation with next week’s stock trading volume,especially significant on weekdays;besides there is a significant negative correlation with Hexun’s weekend ratio.Hexun attention on weekends and weekend ratio is significantly and positively related to stock returns next week.The conclusion not only expands the relevant theory of investors’ attention to the heterogeneity field,but also provides a new perspective of stock modeling with attention index and provides some strategic suggestions for the information disclosure of listed companies.(3)This paper constructs two indicators of investor sentiment and confidence from the market point of view to investigate the relationship between the indicators and stock performance,and then to study the impact of the interaction with investor attention on stock performance.The result shows that investor sentiment plays a positive role in the interaction between investor attention and stock return,and negative between investor attention and stock trading volume and turnover rate.Investor confidence has a positive interaction effect on the relationship between investor attention and stock return,trading volume and turnover ratio.And the results are highly robust with different types of investor attention indexes such as search platforms,social media and financial websites.The conclusion of the study reveals the deep mechanism of investor attention to the stock market.It verifies that investor psychology is the potential force that investor attention causes short-term stock market volatility,and it expands the research on the relationship between investor attention and stock performance,providing evidence of investor psychology study in China’s stock market.(4)This paper establishes a mathematical model of attention heterogeneity,and expresses the feedback mechanism of Searching,Hexun and Weibo attention on the trading volume and stock price.Based on risk aversity investor utility function and the price motion equation,this paper studies the trading volume characteristics of two different sources of investor attention and reveals the two-order effect of information accuracy in the equilibrium quantity decision: the information accuracy of Hexun attention decreases first and then increases due to the time lag of investor information processing,but Weibo and Searching’s continues to rise.Based on investor sentiment,this paper explains the first-order effect of information accuracy in risk asset price determination: momentum trading caused by the increasing accuracy of investor sentiment information leads to the expectation of price inertia from the attetion of Weibo and Searching,thus forming momentum trading and herd effect in a certain time range.The conclusion has some theoretical innovation for a profound understanding of the formation mechanism of earnings momentum and reversal in the stock market,and at the same time,it expands the theoretical research on the heterogeneity of investors.