Research On The Impact Of Investors’ Attention On Stock Price Drift

The stock market is an information-intensive market.Information is one of the important factors affecting stock price fluctuations.The efficiency of information transmission has also become the focus of financial scholars and practitioners.Investors’ attention to stocks is a prerequisite for investors to receive market information and a key link in information transmission.Therefore,investors’ attention must also be one of the factors that affect stock price fluctuations.Stock price drift is a market anomaly arising from the shock of external information.Under the shock of good news or bad news,the stock price continues to rise or fall,and investors can obtain abnormal returns that are higher than the normal returns of the market.Therefore,the phenomenon of stock price drift is widely concerned by investors.Stock price drift comes from information shocks,and will inevitably be affected by investors’ attention.In the domestic stock market,there are many small and medium investors,who are often active in major financial interactive forums,and their active scale reflects the scale of investors’ attention to a certain extent.At the same time,small and medium investors are in a weaker position than institutional investors in terms of professional ability and information processing,and their behavior is easily influenced by public opinion.As a professional information interpreter and information publisher in the stock market,securities analysts,the information contained in their research reports or rating recommendations must be an important factor affecting stock price fluctuations.Therefore,in the case of weak information,small and medium-sized investors tend to trust analysts’ research reports or rating suggestions.Among them,the analyst’s rating recommendation is used as the analyst’s comprehensive evaluation of the listed company.Compared with the obscure research report,the rating recommendation is simple and clear,which is easy for investors to understand and accept,especially when the analyst revises the rating recommendation.observers noticed.To this end,this thesis takes the analyst’s revised rating as the starting point to discuss the impact of investors’ attention on stock price drift,which is helpful to analyze the efficiency of information transmission in the domestic securities market,help investors to clarify the transmission mechanism of market information,and guide investors.Make rational decisions and reduce investment risks.Based on Information Asymmetry theory,Risk as Feelings hypothesis,Efficient Market hypothesis,Investor Limited Attention theory and related theories of behavioral finance,this thesis takes the listed companies in the domestic A-share market from 2011 to 2020 as research samples,using event research Analyst ratings are revised as basic events,cumulative abnormal return(CAR)is used as a measure of stock price drift,and abnormal readings of financial interactive forum posts provided by China Research Data Service Platform(CNRDS)are used as an indicator to measure investors’ attention.Explore the phenomenon of stock price drift after analysts’ revised rating and the impact of investors’ attention on stock price drift.The results show that:(1)the stock price drift consistent with the analyst’s rating will appear in the short term after the analyst’s rating correction,but the impact of the analyst’s rating behavior on the stock price drift has an asymmetric effect.The stock price drift is stronger than the analyst’s negative correction rating in the case of the analyst’s positive correction rating,and the impact cycle of the analyst’s correction rating on the stock price is about 2 ~ 5 trading days after the event,and there is no long-term impact;(2)During the analyst rating revisions event period,significant stock price drift will occur under different investor attention conditions,while in the post event period,the stock price drift will weaken with the increase of investor attention,indicating that the increase of investor attention can effectively alleviate the stock price drift;(3)Considering the information leakage in advance,investor’ attention is positively correlated with the occurrence time of stock price drift.The higher the investor attention,the greater the risk of information being leaked in advance,and the earlier the stock price drift occurs.Finally,this thesis puts forward countermeasures and suggestions from the aspects of regulating the behavior of securities analysts,improving the individual ability of investors,enhancing the transparency of listed companies,strengthening supervision by regulatory authorities,and rationally guiding market public opinion based on the conclusions drawn from the research.