关键词: 有限注意, 投资者概念关注, 股票收益, 反转效应, 百度搜索

Abstract: There is an obvious conceptual speculation in China's stock market, which distorts the benign pricing mechanism of the market. Based on the perspective of limited attention, this paper reveals the formation mechanism of investor attention to the concept and its influence on stock return. Baidu search data is used to measure investor attention to the concept, and the stocks of “One Belt and One Road”, “5G” and “PM2.5” conceptual plates are used as research samples for empirical research. The results show that under the control of the three factors of Fama-French model and the investor attention to individual stock, investor attention to the concept has a significant positive effect on the stock return, but the effect turns negative in subsequent periods. On one hand, the investor attention to individual stock will strengthen the positive effect of the investor attention to the concept on the stock return. On the other hand, because the higher the investor attention to individual stock, the stronger the liquidity of the stock, so it will weaken the reversal effect of the influence of the investor attention to the concept on the stock return. The conclusion enriches the theoretical research of investor attention and provides a theoretical basis and a practical approach to restraining conceptual speculation.

Key words: limited attention, investor attention to the concept, stock return, reversal effect, Baidu search