Investors' Attention And Stock Returns

The theory of modern finance is based on the capitalization model of capital asset pricing(CAPM)and effective market hypothesis(EMH).The analysis paradigm is based on investor rationality but neglects the influence of investor behavior decision.With the emergence of more and more unexplained visions in financial markets,rational hypothesis began to be questioned,in this context,behavioral finance began to rise.In recent years,with the investor's attention to the successful interpretation of many visions,its importance in behavioral finance has been recognized by scholars.Due to the decline in the potential economic growth rate,the money overweight and other factors,market has a rare "asset shortage" phenomenon in china.In 2015,affected by the De-leveraging,the capital market of China appeared a continuous fall situation,in order to prevent the occurrence of greater risk,the CIRC issued a document of rescue measures,hoping insurance funds to play "ballast" role.As the small and medium-sized insurance institutions rely heavily on universal insurance,in the context of "asset shortage" and the China Insurance Regulatory Commission's vigorous encouragement to enter the market,purchases have become the most beautiful scenery in the capital market in the second half of this year.Considering that the purchase of shares by the insurance company from the secondary market itself does not change the fundamentals of the current company and the future cash flow of the company,it is very similar to the "non-event" defined by Lamoureux and Poon(1987).However,the fact is not the same as that.In order to explain this phenomenon,this paper introduces investors' attention to be a variable between "non-event" and asset prices,so as to examine whether investor's attention significantly influence asset prices and what its mechanism is.Using the event analysis study,this paper finds that the placards do affect the target company's share price.In this paper,the abnormal trading volume is used as the proxy variable of investors' attention,regressing with the cumulative excess return rate caused by the placard event.The results show that the investor concern in the short term is positively correlated with the accumulated excess rate of return,which shows that the investor's attention does affect the price of the asset.In order to understand the mechanism of investors' interests in asset price,this paper test the risk compensation hypothesis and the overly concerned about the weak hypothesis.The results show that the influenced mechanism with assets' prices of excessive investor concern in our country is not risk compensation but over-affect asset prices.