Investor attention and stock price efficiency: Evidence from quasi‐natural experiments in China
利用中国股市中由价格取整效应驱动的投资者关注差异，发现股票在进入赢家榜单后关注度显著提升，股价效率也随之提高，且这一效应通过提升流动性和大单净流入实现。
Abstract We examine whether increasing investor attention affects stock price efficiency. To identify the causal effect, we employ daily repeated quasi‐natural experiments in China where investor attention difference is purely driven by price rounding effect without information regarding stock fundamentals. Stocks tend to draw significant more attention and show higher price efficiency after being exposed to the Winner List. We also find supporting evidence for two nonexclusive channels through which investor attention enhance stock price efficiency: increasing stock liquidity and stronger net inflows from large orders. The positive relationship between investor attention and price efficiency is more pronounced among stocks with lower institutional shareholdings, stocks without overseas or Big Four audit firms, and stocks without B‐ or H‐shares. Our findings further shed light on the significant impact of saliency on the capital market.