Up&Drop List Effect Of Stock Market And Limited Attention Behavior Research

Limited attention is the forefront of behavioral finance theory. Considering themass information, investors’ cognitive ability is limited, they need allocate theircognitive resources in different things, therefore in the investment decision-making,investors are limited rational. They tend to buy the stock that have more attention. Inrecent years, Scholars of domestic and overseas have done a lot of research to limitedattention theory. Although the stock market up&drop list has a low cost source ofinformation, it usually will attract investors’ limited attention.This paper first discusses the limited attention, up&drop list stock returns and theinternal function mechanism,. When the list is announced, the front of the stock listgains more investor’s attention, in the future yields those stock gains higher than thelist of the low-ranking stock, i.e. This is the up&drop list effect. Based on the stockmarket’s data of January2010to August2012, we pay attention to cause the ups anddowns of the effect on the list of the inspection, confirmed the existence of increaseranking effect. In addition, based on investors’ concern, at the same time control thedifference between the industry circumstance, we building inspection stock portfolio.Verify the high attention of the stock portfolio income will be higher than attentionlow stock portfolio in the future.This article research conclusion is: by the influence of investors’ attention,up&drop list effect existed. At the same time, with more difference of limitedattention, up list effect is more obvious, but drop list effect is not obvious. Furtherresearch shows that, to the same industry circumstance, the differences attention ofinvestors will affect the decision, making investors’ attention drive transactionbehavior produce difference, lead to the high attention stock returns higher than lowattention stock. At the same time, in the research condition of this paper, we found thecompany value size on investors’ attention drive trade influence is not obvious, andinvestors to the attention of investors emotions drive trading have obvious influence.With investors’ concern, turnover rate and investor sentiment as the explanatoryvariable, can very good explanation income difference. Explain that investors’behavior by limited attention is an important reason for the emergence of abnormalprofits.