The Effect Of Investor's Limited Attention On Abnormal Return Of Stocks Under The Background Of Restricted Shares

The traditional economic theory holds that the stock market is effective and follows the rational person hypothesis,that is,people can obtain all kinds of information in an instant,comprehensive and cost-free manner.However,according to most researches in psychology,the human brain Core cognitive processing capabilities are limited.On the one hand,investors can't pay attention to all the information.On the other hand,different investors pay different attention to the same information event.Faced with the turbulent flow of information from financial markets,the limited focus determines that humans can only focus on those goals that cause their own attention,while ignoring or reducing the treatment of those targets that are less focused.In the face of thousands of stocks in the Shanghai and Shenzhen markets,investors are destined to be able to assign equal attention to each stock and only focus on stocks that are of interest to them.Under this circumstance,the weekly release of the restricted shares of the restricted shares has entered the investor's field of vision through the announcements of various listed companies,media reports and disclosures by the Shanghai Stock Exchange,thus effectively reducing the cost and time for investors to collect information.Arousing the attention of investors and causing changes in investor behavior,indirectly affecting the performance of the stock market by changing investment choices.Under the framework of behavioral finance with limited attention,it is of theoretical and practical significance to study the impact of the disclosure mechanism of restricted shares on the different term behaviors of investors and the efficiency of information disclosure.This article takes the stocks that are lifted weekly in the Shanghai and Shenzhen markets from January 4,2016 to December 28,2017 as the entry point,and uses the Baidu index search volume as the proxy variable of investor attention to investigate the weekly announcement of the lifting of the ban.Under the investor's attention distribution,it discusses whether the financial information,asset quality information,valuation information and corporate governance information based on the limited investor's concern and the transaction behavior generated by it affect the stock's return rate.The results show that with the arrival of the restricted stock release date,investors in the market have been affected by the panic and the yield has fallen,but the stocks that have received attention from investors have been paid more attention by investors.Involvement has a certain resistance to the impact of the lifting of the ban.By analyzing the influence of investor attention on the market performance of individual stocks,on the one hand,the analysis of investor attention can be applied more in behavioral finance and economic finance;on the other hand,through limited attention to investors for the future of stocks.The analysis of the impact of market yields can better analyze the drivers of stock market performance and provide some indications for the theoretical expectations of stocks and the entire financial industry.Since China's current capital market is dominated by small and medium-sized investors,small and medium-sized investors are generally at a disadvantage of information,which is easily affected by public opinion and market sentiment,resulting in wrong investment decisions,resulting in losses.Therefore,for small and medium investors,the influence of research attention and stock market can guide their own investment behavior,establish a scientific risk asset selection and allocation system,avoid being affected by irrational factors,and effectively realize wealth management.