The relationship between investor attention and stock performance of Chinese real estate industry

Abstract

With the development of the behavior finance and information technology, such as the emergence of Baidu index, provided a direct measure of investor attention. This study explored the relationship between investor attention and stock performance in the Chinese A-shared market in real estate listed companies. We used a sample of 157 listed companies covering period from 2016 to 2018 in China Stock Market and Accounting Research Database daily frequency. In this study, the unit root test was used first to test data stability and then multivariate regression model was applied to examine the relationship. The result showed that the investor attention had a significantly positive affect on firm’s stock performance. In terms of the robustness check, we used two methods to re-examine the relationship to reach a consistent conclusion. One was with alternative variable to change the measurement of investor attention; the other one was with the lag coefficient of the main variable to test the endogeneity. By monitoring the attention data of a particular stock on the previous day, we could predict to a certain extent the change of stock dividend rate on the next day. The conclusion of this paper was helpful for investors to better understand and predict the dividend rate of Chinese real estate market.