Limited Attention and Stock Performance:An Empirical Study Using Baidu Index as the Proxy for Investor Attention
提出用百度指数直接衡量投资者关注度，发现创业板市场中关注度上升会推高当日股价，随后几天出现反转，并影响集合竞价阶段的股价跳跃。
We propose a direct measure of investor attention using Baidu Index.In a sample of Growth Enterprise Market,we find the investor attention can affect the stock market performance with this proxy of investor attention.An increase in Baidu Index predicts higher stock price in that day and an eventual price reversal in the next few days.It also contributes to the jump of stock price in call auction.