The Study Of Restricted Shares Lifted Based On The Investors Limited Attention

For the sustainable and healthy development of China’s capital market, the Securities Commission conduct the Share Segregation Reform on Apirl29th2005, which means that nearly two-thirds of the total share capital of non-tradable shares will be traded in succession. Since then, the Share Segregation Reform becoming the majority of scholars keen discussion and research. Just a few years, literature related to the study has been enriched, the study focused primarily on the content of whether the restricted shares lifted will impact the market, whether stocks gains and related factors will be affected. The standardized descriptive analysis and event-An Empirical Analysis are the main methods.The prevailing view is that the Restricted shares lifted is indeed has a significant negative impact on the market.Chinese scholars named them as the early response and reduction effects. However, scholars have also found many positive abnormal returns by empirical studies, but did not give a reasonable explanation.Today, the releasing of the restricted shares has been basically completed. In fact, with the reduction of the Restricted shares and the increase of the IPOs starting from2009onwards restricted shares in the proportion of restricted shares far exceeds the share reform Restricted Shares, becoming the largest market pressures facing the ban.Therefore, this paper mainly analyzed the Price Effect of the Restricted Shares lifted which from the GEM market based on the theory and methods of the previous studies. This paper is to explore under downward pressure on prices is based on the traditional theory of positive excess returns what factors led to this unexpected.The limited attention of behavioral finance theory suggests that the individual investors tend to choose the stock which attracts their attention, and resulting net buying, thus forming the upward price pressures. It just provides us a new perspective for the problems we study. This paper introduces the limited attention theory of behavioral finance, and use Baidu Index as its proxy variables to measure the extent of investors’ attention to a specific stock. Through the study of769samples of GEM’s ban on the purchase decisions of investors with limited attention to the conduct of the study, conducting the empirical testing by constructing models on the basis of assumptions.The conclusions are as follows:First, use Baidu index as the measurement of investor limited attention proxy variables. Based on the characteristics of GEM market’s investors, chose Baidu index as a proxy for investor attention.Second, the paper selected the abnormal returns, the turnover rate, the volume and other market indicators to do a regression analysis with Baidu index. We found a significant positive correlation between them.Third, in the empirical study, we add Baidu index’s lags in the model, and still found that the previous attention has a significant positive correlation with the market index, which means that investors’previous attention can predict the future performance of the stock to a certain extent.Fourth, in the model which the market returning rate functioned as the dependent variable, Baidu index functioned as the independent variables, we found that the current and lagged investors’ attention to the stock price has the opposite effect on the current period’s attention to make stock produce transient excess returns after adding lags, while lagging attention will make such gains reversed.In short, we can found that the limited attention has a good explanation of the positive accumulated earnings of stocks, so we can take advantage of a stock investor attention on the extent of changes as buying strategy to generate excess returns. Due to the rapidly reverse course, investors must grasp the timing of the sale. Therefore, we need to find an intermediate variable which can measure the investors’ attention effectively and accurately, tracking their trends, and then build our buy and sell investment strategy.