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Title: Attention and Retail Investors' Behavior in China
Authors: LEONG, HOK CHON (梁學秦)
Department: Department of Finance and Business Economics
Faculty: Faculty of Business Administration
Issue Date: 2017
Citation: LEONG, H. C. (2017). Attention and Retail Investors' Behavior in China (Outstanding Academic Papers by Students (OAPS)). Retrieved from University of Macau, Outstanding Academic Papers by Students Repository.
Abstract: Berkman, Koch, Tuttle, and Zhang (2012) find positive overnight returns and negative intraday returns in the U.S. market, and they attribute such pattern to Barber and Odean (2008)’s limited attention. However, I find negative overnight returns and positive intraday returns in China. While I measure investors’ attention using 15-minutes returns at the market open with intraday high-frequency transaction data, I find that high attention leads to overpricing in the rest of the trading day and reversal on the next day. The evidence from China is essentially consistent with the attention-driven intraday return pattern.
Instructor: Prof. REN, JINJUAN
Programme: Master of Science in Finance
Appears in Collections:FBA OAPS 2017

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