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Does attention affect individual investors' investment return?

Author

Listed:
  • Rongsheng Shi
  • Zhi Xu
  • Zhengrong Chen
  • Jing Huang

Abstract

Purpose - The purpose of this paper is to theoretically and empirically explore the effects of attention levels on individual investors' investment return. Design/methodology/approach - By introducing the heterogeneous attention, the authors first expand the theoretical model of Barber and Odean. The authors use graphical analysis, univariate analysis, multiple regression analysis and construct a portfolio to carry out an empirical study. Findings - The authors first find evidence in support of Barber and Odean's price pressure hypothesis. By theoretical and empirical study, the authors conclude that attention negatively affects individual investors' investment return. Originality/value - By introducing the heterogeneous attention, the paper provides a theoretical basis for empirical study. Baidu abnormal search volume was used as a proxy for individual investors' attention, and analysts' neutral ratings were used to empirically verify the theoretical theorem.

Suggested Citation

  • Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang, 2012. "Does attention affect individual investors' investment return?," China Finance Review International, Emerald Group Publishing Limited, vol. 2(2), pages 143-162, April.
    • Handle: RePEc:eme:cfripp:v:2:y:2012:i:2:p:143-162
    DOI: 10.1108/20441391211215824
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    References listed on IDEAS

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    Cited by:

    1. Hao, Jing & Xiong, Xiong, 2021. "Retail investor attention and firms' idiosyncratic risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 74(C).

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