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《Review of Investment Studies》 2016-09
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Power of Circuseeing——Based on the Perspective of Sophisticated Investors' Attention

Si Ziwen;Zhu Ye;  
This paper uses"stocks attention"in the Choice database as a measure of sophisticated investors' attention for the first time, with selecting main board、SME board and GEM board as samples, and using panel regression method to study the impact of investor attention on asset prices. The empirical results show: Enhancement of investor attention will generate upward momentum of stock price in current period, thereby engendering a positive impact on current stock yield. Different from the existing conclusions, this positive impact will not be reversed at a later stage, but show a rapid decay trend. Effects of investor attention on different levels of capital markets are different, in particular, the order of effects of investor attention on stock yield is: GEM board SME board SSE main board.
【Key Words】: Investor Attention Stock Yield Positive Impact Multi-level Capital Market
【CateGory Index】: F832.51
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