论文题目：Investor attention and stock price efficiency: Evidence from quasi-natural experiments in China

刊物名称：Financial Management

发表时间：2024-01-01

刊物期号：2024,53(1)

论文摘要：We examine whether increasing investor attention affects stock price efficiency. To identify the causal effect, we employ daily repeated quasi-natural experiments in China where investor attention difference is purely driven by price rounding effect without information regarding stock fundamentals. Stocks tend to draw significant more attention and show higher price efficiency after being exposed to the Winner List. We also find supporting evidence for two nonexclusive channels through which investor attention enhance stock price efficiency: increasing stock liquidity and stronger net inflows from large orders. The positive relationship between investor attention and price efficiency is more pronounced among stocks with lower institutional shareholdings, stocks without overseas or Big Four audit firms, and stocks without B- or H-shares. Our findings further shed light on the significant impact of saliency on the capital market.

关键词：investor attention, saliency, stock price efficiency, winner list

博士生简介：

吴崇林，2023级金融学专业博士研究生，导师为田秀娟老师和李志冰老师。