Do Top 10 Lists of Daily Stock Returns Attract Investor Attention?n Evidence from a Natural Experiment

摘要

Using the upper price limit-hitting events, in the Shanghai Stock Exchange in China, as the basis for comparison, we find that limit-hitting stocks in the top 10 ranking list of daily returns attract more investors' attention, and bring about significant abnormal return in excess of those list-excluded limit-hitting stocks. The result is robust after controlling for firm characteristics and market states. Furthermore, the attention distinction caused by the ranking lists is unlikely to be distra