The impact of investors´ attention on stock returns ??? Study based on Baidu Index

This paper concludes that limited attention of investors can affect the performance of stock market. In this paper, Baidu Index is used as a proxy for investor attention, and it can accurately measure the limited attention of investors, revealing their impact on stock returns. We find that the search index of the financial industry is significantly higher than other industries, and it is likely that the financial company´s business is closely connected with people´s daily lives. Also, an increase in Baidu Index predicts higher stock price in that day and an eventual price reversal in the next few day. In addition, the reversal effect of attention is relatively stable, and does not alter or change with the environment.