The Impact Of Investors’ Limited Attention On Stock Returns An Empirical Study Based On Tonghuashun Popularity Index

The number of listed companies in China ’s A-share market has exceeded 5000.With the rapid development of big data,cloud computing and artificial intelligence technology,the speed of financial information change has accelerated,and the total amount of information has grown exponentially.Behavioral finance believes that investors ’ attention is limited.They cannot collect and process all the information on the capital market.There will inevitably be contradictions between limited attention and unlimited information and lead to the wrong embodiment of value.Therefore,relevant research has important academic value.Based on the systematic review of the relevant literature on investors ’ limited attention,this paper first uses the Tonghuashun popularity index as a proxy variable for investors ’ limited attention,and discusses its correlation with stock market indicators and its impact on stock returns and mechanism.On the basis of literature research and theoretical discussion,this paper empirically tests the reversal effect and asymmetric effect of investors ’ limited attention on stock returns.In terms of reversal effect,this paper analyzes the reversal effect of stock returns from the relationship between salience thinking and investor decision-making.In terms of asymmetric effects,this paper analyzes the asymmetric effects from the correlation between information sensitivity and limited attention changes.In order to further provide real and effective evidence,this paper takes 3855 listed companies as samples,a total of1264440 data,using panel regression and Fama-Macbeth regression to test the reversal effect and asymmetric effect.Through the research,it is found that there is a significant correlation between the limited attention of investors measured by the Tonghuashun popularity index and the selected stock market indicators,and the limited attention of historical investors contains information that is not reflected by the market indicators,which highlights the unique research value of the popularity index different from the traditional proxy variables.In addition,in panel regression,investors ’ limited attention will have a reversal effect on stock returns the next day;the impact of positive and negative changes in limited attention on stock returns is asymmetric,showing that positive changes in limited attention have a reversal effect on stock returns,while negative changes in limited attention have no reversal effect on stock returns.In the Fama-Macbeth regression,limited attention and its change rate are risk factors,which have significant explanatory power for daily stock cross-sectional returns.Limited attention has a negative impact on stock cross-sectional returns in the next period.The change rate of limited attention has a reversal effect on the cross-sectional returns of stocks in the next two periods.The above results are still robust after testing.Finally,some research implications are summarized.