投资者关注度对股票超额收益的影响--基于和讯网关注度的研究

he relationship between investors' attention and stock returns is an important project in the field of behaviorial finance. Using the panel data model, this paper studies on the relationship between investors' attention and stock returns in the Chinese stock market based on Hexun investigation. The empirical results show that there is significant relationship between investors' attention and stock returns. High investors' attention will lead to high stock returns, and this relationship will reverse in a short time. Investors' attention is helpful for excess returns for individual investors, and is also an important index for stock market supervisors to make sure the securieties marekt stable.