系统管理学报2026，Vol.35Issue(2)：525-542,18.DOI:10.3969/j.issn2097-4558.2026.02.016
散户关注度与股票收益:来自市场、行业及个股的分析
Retail Investor Attention and Stock Returns:Evidence from Market,Industry,and Individual Stock Perspectives
摘要
Abstract
Using stock codes search data from A-share mainboard listed companies in Shanghai and Shenzhen markets,this paper constructs retail investor attention indicators at market,industry,and individual stock levels to investigate their impacts on stock returns.The findings reveal positive correlations between retail investor attention and same-day stock returns across all three dimensions.However,distinct patterns emerge in longer-term performance:industry-level and individual stock-level attention indicators exhibit long-term reversal effects on returns,whereas market-level attention demonstrates persistent influence without significant subsequent reversal.Further analysis confirms that market-level attention exhibits more remarkable persistence than industry and individual stock dimensions.After controlling for contemporaneous market-wide attention,industry-and stock-specific attention measures maintain their long-term reversal effects,consistent with their impacts on individual stock returns.These results remain robust after excluding extreme risk events,controlling for the December effect,and employing alternative measurement methodologies.Additionally,the impact of attention on stock returns displays heterogeneity across market risk states,manifesting more pronounced effects during high-risk market conditions.关键词
散户/投资者关注度/百度指数/股票收益/A股Key words
retail investors/investor attention/Baidu Index/stock returns/A-share stock market分类
管理科学引用本文复制引用
熊熊,张宇彤,高雅..散户关注度与股票收益:来自市场、行业及个股的分析[J].系统管理学报,2026,35(2):525-542,18.基金项目
国家自然科学基金资助项目(72471044,72141304,72001033) （72471044,72141304,72001033）
科技部重点研发项目课题(2022YFC3303304) （2022YFC3303304）
