The Study Of Investor Attention’s Impact On The Stock Performance Based On Baidu Index

With the coming of information era, attention has become a scarce resources. Because attention affects people’s investing decision, attention is an important factor of the asset pricing. It is of practical value to study the impact of investor attention on the stock market performance. Along with the extensive application of the Internet, the search engine enable investors get information at a very small price and heir search actions are recorded by the search engine. On this background, the study about the yield of investor attention is meaningful.In this paper, Baidu index is chosen as a proxy measure of investor attention while stock returns, trading volume and price volatil ity are used to describe the performance of the stock market. And Baidu Index is applied to directly measure the level of limited attention from individual investors. The paper studies the impact of investor attention on the stock market performance of cur rent and next period. Empirical studies find an increase in investor attention has a significant positive impact on the current stock price volatility and trading volume, while this effect in the next period will be significantly weakened. However, as for yields, the investor attention’s influence on it is reversed and asymmetric. Then we investigate whether investor attention affects the cross-section of stock returns. The evidence shows that the hard-to-arbitrage, low circulation market value and low rati o of institutional investors stocks have higher sensitivity of returns to search intensity. In addition, a long-short equity strategy based on attention growth rate analyzed by Carhart four-factor model shows that it can achieve significant excess returns.