Are Top-Tens Better? A Study on Investor Attention and Ranking Lists

34 Pages Posted: 8 Nov 2012

See all articles by Diefeng Peng

Diefeng Peng

Central South University

Yulei Rao

Central South University

Mei Wang

WHU - Otto Beisheim School of Management

Date Written: November 7, 2012

Abstract

Using the upper price limit-hitting events, in the Shanghai Stock Exchange in China, as the basis for comparison, we find that limit-hitting stocks in the top-ten ranking list of daily returns attract investors’ attention, and bring about significant abnormal return in excess of those list-excluded limit-hitting stocks. The result is robust after controlling for firm characteristics and market states. Compared with their limit-hitting peers, we find that stocks listed in top-tens are more likely to be exposed to market sentiment inspired trading, and less likely to be distracted by contemporaneous limit-hit events, which is consistent with the limited attention hypothesis.

Keywords: behavioral finance, limited attention, price limits, event study, market reaction, ranking list

JEL Classification: G14, D03

Suggested Citation

Peng, Diefeng and Rao, Yulei and Wang, Mei, Are Top-Tens Better? A Study on Investor Attention and Ranking Lists (November 7, 2012). Available at SSRN: https://ssrn.com/abstract=2172187 or http://dx.doi.org/10.2139/ssrn.2172187

Diefeng Peng

Central South University ( email )

Changsha, Hunan 410083
China

Yulei Rao

Central South University ( email )

Changsha, Hunan 410083
China

Mei Wang (Contact Author)

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallender, 56179
Germany

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