Do Top 10 Lists of Daily Stock Returns Attract Investor Attention? Evidence from a Natural Experiment

29 Pages Posted: 7 Dec 2016

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: December 2016

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 10 ranking list of daily returns attract more 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. Furthermore, the attention distinction caused by the ranking lists is unlikely to be distracted by simultaneous events. Overall, the previous empirical evidence about the ranking lists basically supports the investor attention hypothesis.

Suggested Citation

Peng, Diefeng and Rao, Yulei and Wang, Mei, Do Top 10 Lists of Daily Stock Returns Attract Investor Attention? Evidence from a Natural Experiment (December 2016). International Review of Finance, Vol. 16, Issue 4, pp. 565-593, 2016, Available at SSRN: https://ssrn.com/abstract=2881020 or http://dx.doi.org/10.1111/irfi.12091

Diefeng Peng (Contact Author)

Central South University ( email )

Changsha, Hunan 410083
China

Yulei Rao

Central South University ( email )

Changsha, Hunan 410083
China

Mei Wang

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallender, 56179
Germany

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