| Traditional securities market research is based on the Efficient Market Hypothesis(EMH)proposed by Fama(1970).The EMH hypothesis holds that the operation of the securities market is always effective,the information between the market participants is completely symmetrical,and investors can respond to the information in a timely and complete manner.Therefore,the price completely reflects all public information,and the price will only be reflected in the fundamental information of the asset.There is a small fluctuation in the vicinity of the value.Once the price deviates from its intrinsic value,the market participants will quickly correct the error and cause the price to return to the intrinsic value in the short term.Therefore,the optimal strategy for investors in the securities market is to maintain a “buy-hold” passive investment strategy.However,at the peak of each round of asset bubbles,investors have participated in the game of drums and flowers.The blind and crazy speculation of investors is far from the full rational behavior of investors in the effective market hypothesis.The behavioral finance that emerged in the 1990 s broke the hypothesis of investors' complete rationality.It focused on combining psychology to provide theoretical basis for investors' irrational behaviors,emphasizing that irrational behaviors would have a significant impact on stock returns,and thus explaining that traditional efficient market assumptions could not explain the market anomaly.In the late 1950 s,the germination of cognitive psychology ranked "attention" as the core issue,and expanded its research status and field.Cognitive psychology emphasizes the scarcity of attention.Therefore,studying the capital market problem under the theoretical assumption of limited attention has become an important research direction of behavioral finance.Compared with the mature securities market,the proportion of small individual investors in China's securities market is obviously high,while most individual investors do not receive professional financial knowledge and skills training,and are more susceptible to irrational investment behaviors due to cognitive bias and psychological bias.Therefore,it is undoubtedly of great theoretical and practical significance to study the relationship between investor attention and market returns and market anomaly for China's securities market.This paper selects China's stock market as the research object,combines theoretical analysis and empirical research,and explores the relationship between investor concern and market anomaly.This paper selects three anomalies,corresponding to three events that attract investors' attention:(1)management's earnings preannouncement disclosure anomaly.China's earnings announcements have several characteristics.First,earnings announcements including bad information are inclined to be disclosed on weekends.Second,earnings announcements including bad information are inclined to be disclosed late,and earnings announcements including good information are inclined to be disclosed early.Finally,earnings announcements including bad information are inclined to be disclosed among all listed companies announced intensive period.It is obvious that the earnings announcement disclosed by listed companies will attract investors' attention and cause market reaction.Since the influence of investors' attention on the earnings announcements has been extensively studied,the earnings preannouncements related research is far from sufficient,so this paper focuses on the relationship between investor attention and earnings preannouncements.(2)IPO “Three Highs” anomaly.China's A-share IPO market has experienced several suspensions and restarts due to the imperfect A-share issuance system and strong speculative atmosphere.The “Three Highs”(high issue price,high price-earnings ratio and high first-day return)for new share issuance has been criticized.The anomaly is explained mostly based on regulation defects,information asymmetry and the underwriters' preference theory.Behavioral finance mainly explains the “Three Highs” anomaly based on investors' sentiment and investors' attention.(3)The MAX anomaly.Bali(2011)found that the maximum daily rate of return during the month can significantly negatively predict the next month's return,and accordingly proposes the MAX anomaly,which is confirmed by the multi-national market in the world.Because high-return events are attracting investors' attention.This paper explores the relationship between investor attention and MAX anomaly.The selection of these three market anomalies is mainly due to these anomalies involve the three major market participants of listed company management,financial intermediation services,and individual investors.Therefore,this paper provides a more systematic and comprehensive understanding of the impact of investor attention.Focusing on the theme of investor attention and stock market anomaly,the paper is divided into six chapters.The specific contents and conclusions are as follows: Chapter 1,Introduction.This chapter first introduces the research background and significance of the paper,and then points out the main research purposes,content and methods of the full text.Finally,it points out the innovation of this research.Chapter 2,theoretical basis and literature review.The chapter combs the relevant literatures from the following aspects: First,cognitive psychology and behavioral finance research on limited attention,second,the impact of investor attention on investor behavior and market response,third,the impact of investor attention on market anomaly.Chapter 3,based on the investor attention perspective,this chapter explains the earning preannouncement disclosure anomaly with group statistics and logit model,and establish a regression model using the excess return of the earning preannouncement window period as explanatory variables to explore the impact of investor concerns on the market response to earning preannouncement.Chapter 4,this chapter explains the IPO's ‘Three High' anomaly with group statistics and linear regression to confirm the impact of investor concerns on IPO issue pricing,price-to-earnings ratio,and first-day earnings.Chapter 5,this chapter explains the relationship between investor attention and the MAX effect with group statistics,Fama-MacBeth method to construct crosssectional regression.This chapter confirms that investors' attention has aggravated the MAX effect.Chapter 6,Conclusions.This chapter summarizes the conclusions of the full-text study and points out some of the shortcomings and problems in this paper and the direction of further research.Based on the empirical analysis method,the main conclusions of this paper are as follows:First,it confirms that the prominent events will cause an increase in investor attention.In this paper,Baidu Index is used as a proxy indicator for individual investor attention.The earnings announcements issued by listed companies,IPO listings,brokerage research reports,and extreme returns are the object of event research.It is confirmed that these prominent events will indeed cause investors to increase their attention.Second,it is confirmed that the increase of investor attention caused by the release of earnings preannouncement at different timings are different,and management of listed companies will timely disclosure the earnings preannouncement based on investor attention.The management will disclose the good news on the working days,the non-busy period,and the earlier period for investor attention at these time are relatively higher,and disclose the bad news on the weekends,the busy period,and the later period for investor attention at these time are relatively lower.Compared with the “Investor Sentiment Disclosure” strategy,the “Investor Attention Disclosure” strategy is more common among listed companies,and companies with timely disclosure experience are more likely to take similar timely disclosure strategy.Third,the market responses of the earnings preannouncement during different attention periods are different.Although there is no significant difference in the market response of earnings preannouncement disclosed on weekdays and weekends,the market response of earnings preannouncements dislosed during the busy period and the later period are significantly weaker than dislosed during the non-busy period and the earlier period.Therefore,the timely strategy of disclosing earnings preannouncement with good news during the non-busy period or the earlier period and disclosing earnings preannouncement with bad news during the busy period and the later period can achieve the desired results.Fourth,the degree of institutional investors' attention on IPO companies will affect the institutional investors' inquiry participation behavior during IPO process,which in turn affects IPO pricing.The study finds that the higher the degree of IPOs prior institutional investors' attention,the more institutional investors participate in the IPO inquiry process,and adopt a more aggressive quotation strategy under the “high price priority,same proportion placement” inquiry system,and the intensified quotation competition leads to the higher median quotation,which pushed up IPO pricing.Fifth,the brokerage research reports will attract the attention of individual investors.The excessive attention of individual investors to IPO companies will further push up the IPO first-day turnover rate and market return,which will intensify the secondary market premium.Sixth,it is confirmed that the MAX effect that is ubiquitous in developed countries also exists in China's A-share market,and this paper explains the anomaly by combining investor concern theory and investor lottery preference theory.The study finds that gambling investors who have strong preference of lottery stocks with high extreme return,high heterogeneity skewness and high heterogeneity volatility is an important reason for this anomaly.The premise of gambling investors' participation in trading is that these individual stocks attract their attention.Undoubtly,the extreme income as an outstanding event can effectively attract attention.The increase in investor attention is accompanied by an increase in irrational speculators involved in speculation.The more serious the temporary stock price increase is,the more severe the reversal of the next month's return will be,thus exacerbating the MAX effect.Seventh,market sentiment will affect the extent to which investor attention affects the MAX effect.During the period of high market sentiment,gambling investors are more likely to impulsively perform buy operations driven by optimism,thereby increasing the probability of conversion from attention to trading,which in turn leads to a greater degree of extent to which investor attention affects the MAX effect.The innovations of this paper are mainly reflected in the following aspects:First,the combination of investor attention and management's earnings preannouncements disclosure behaviors provides a more comprehensive discussion of the management's disclosure strategy and the effectiveness of strategy implementation.The current research on earnings announcements is rich and mature,but the research for earnings preannouncement is still scarce.The literature that combines investor attention with earnings preannouncement is even rarer.The third chapter of this paper comprehensively analyzes the three disclosure timing decisions of management: 1)usually or weekend;2)release as soon as possible or late release;3)release among all listed companies announced intensive period or loose period,confirmed that the three opportunistic strategies are applied to earnings preannouncement disclosure;and compares with the strategy based on investor sentiment.This chapter further compares the market reponse of different strategies and explores whether the management's selective disclosure strategy can achieve the desired results.The study complements the application scenario of listed company management timely disclosure strategy based on investor attention,enriches the understanding of management's information disclosure,and expands research in investor attention areas and corporate finance.Second,combining the primary market with the secondary market,this paper systematically expoundes the researchers' concerns about the impact of attention on the IPO “Three Highs.” Investor attention is often used to explain the IPO first-day return,that is,the more individual investors' attention is paid to,the more irrational speculations in the secondary market of new-issue stocks,resulting the higher IPO firstday return.The research that combines investors' attention with the IPO primary market,ie IPO pricing,is still rare.The fourth chapter of this paper attempts to combine the perspective of pricing by underwriters and the perspective of individual investors.The first-day excess returns are split into the primary market issuance underpricing and the secondary market premium.The impact of the investor's attention on the IPO “Three Highs” anomaly is systematically elaborated.In addition,it also explores the factors affecting the attention of individual investors before listing,indicating that the brokerage research report has increased the individual investors' attention.Third,this paper innovatively combine investor attention with the MAX effect.In recent years,the MAX effect has been confirmed in many markets around the world,but whether the anomaly exists in China's A shares market is rarely discussed.The fifth chapter confirms that the MAX anomaly also exists in China's A shares market;we further innovatively combine investor lottery preferences and limited attention theory to explain this anomaly,and finds that the increase of investor attention has intensified the MAX effect.We also explore the role of investor sentiment played in the anomaly.Therefore,this paper provides a basis for understanding the MAX effect in the A-share market.Fourth,the three major anomalies of this paper involve the three major market participants: listed companies' management,financial intermediary service agencies,and individual investors.The three major anomalies also include both investors' underreaction and overreaction.Therefore,this paper provides a systematic and comprehensive understanding about the impact of investor attention and market anomaly. |
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