Limited Attention of Investors and the Liquidation of Non-tradable Shares
利用非流通股解禁这一无信息含量的事件，研究发现吸引投资者注意力的股票会有正收益，且市场情绪通过投资者有限注意力影响个股收益。
Limited attention theory is the frontier of behavior finance,saying that retail investors will make irrational decisions due to information overloading.Using the event of expiration of lock up provisions of non - tradable shares,which has no new information content at all,and using amount of history information of Google as proxy of attention grabbing event,the paper finds that stocks that catch investor attention will have positive returns. Meanwhile,investor sentiment,which is market wide,will affect individual stock returns mediated by investors' limited attention.