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Considering the role of analysts in disseminating information, the paper explains the idiosyncratic volatility puzzle of China's stock market. As the largest developing country, China's research can provide meaningful reference for the research of financial markets in other new countries.

From the perspective of behavior, establishing a direct link between individual investor attention and stock price overvaluation.

The authors find that there is a significant idiosyncratic volatility puzzle in China's stock market. Due to the role of mispricing, individual investor attention significantly enhances the idiosyncratic volatility effect, that is, as individual investor attention increases, the greater the idiosyncratic volatility, the lower the expected return. Attention can explain the idiosyncratic volatility puzzle in China's stock market. In addition, due to the role of information production and dissemination, securities analysts can reduce the degree of market information asymmetry and enhance the transparency of market information.

China is the second largest economy in the world, and few scholars analyze it from the perspective of investors' attention. The authors believe this paper has the potential in contributing to the academia.

Can something that drives our initial attention toward a stock have any implications on final decision to buy it? This paper empirically and statistically tests association, if any, between factors fostering attention toward a stock and rationales to buy it.

This paper uses survey responses of individual investors involving multiple response categorical data. Association between attention fostering factors and rationales is tested using a modified first-order corrected Rao-Scott chi-square test statistic (to adjust for within-participant dependence among responses in case of multiple response categorical variables). Further, odds ratios and mosaic plots are used to determine the effect size of association.

Strong association is seen between attention fostering factors and rationales to buy a stock. Further, strongest associations are seen in cases where origin is the same underlying influencing factor. Some of the most cited attention fostering factors and rationales in this research stem from familiarity bias and expert bias.

What starts as a trivial attention fostering factor, which may not even be recognized by majority investors, can go on to become one of the rationales for buying a stock. This can result in substantial financial implications for an individual investor. Investor education agencies and regulatory authorities can make investors cognizant of such association, which can help investors to improve and adjust their decision making accordingly.

The extant literature discusses factors/biases influencing buying decisions of individual investors. This research takes a step ahead by distinguishing these factors in terms of whether they play role of (1) fostering attention toward a stock or (2) of reasons for ultimately buying it. Such dissection of factors/biases, to the best of authors' knowledge, has not been done previously in any empirical and statistical analysis. The paper uses multiple response categorical data and applies a modified first-order corrected Rao-Scott chi-square statistic to test association. Application of the above-mentioned test statistic has not been done previously in context of individual investor decision-making.

The purpose of this paper is to develop an in-depth contextualized understanding of individual investors’ buying decision in Indian stock market. Specifically, it provides answers to: how do individual investors make buying decision in stock market; and how and when do biases set in during such decisions. The paper also brings forward some aspects of individual’s journey as an investor.

Given the exploratory nature of this study, the paper takes a step away from typically used variance approach and instead uses a process approach. The authors do in-depth one-on-one interview, where each respondent shares his/her lived experiences as an investor retrospectively. To understand buying decision, each respondent is asked to elaborate three significant buying transactions carried out by him/ her in stock market.

Socio-cultural factors are found to have significant influence in inducing respondents to enter market. “Safe” vs “Risky” mental account emerges as the prominent stock categorization done by Indian investors. Three building blocks, namely, Identification, Rationalization and Further Validation emerge as the building blocks that culminate into buying decision of individual investors. The biases are seen to play a dual role in such decisions; as Attention Boosters and Rationales.

This study, to the best of authors’ knowledge, is first of its kind which amalgamates behavioral biases with phenomenon such as attention and Rationalization, to understand “how” behavioral biases set in during buying decision of individual investors.

The purpose of this paper is to bridge the gap between the theory underlying divergence of opinion (DOP) and a cognitive concept termed as attention by specifically focussing on the volume and price behaviour in initial public offering (IPO) settings.

Employing the hierarchical regression for a sample of 282 Malaysian fixed price IPOs issued from 2004 to 2014, this research investigated the effect of investors’ attention on other information that complements the information revealed by initial return on DOP. Measure of market adjusted turnover (AbTO) from non-IPO setting was used to capture the DOP in the after-market, while investors’ attention was on a dichotomise scale variable which was captured by the increase/decrease of the Google search index (GOGC2) on the month of listing compared to a month prior to listing.

The findings indicate that attention moderates the relationship between initial return (also surrogates underpriced IPOs) and DOP. The findings suggest that disagreement to initial returns is reduced, while liquidity in the after-market is promoted, when investors pay more attention to other information that complements price change. The findings also indicate that behavioural tendency is less when individual participation is weak.

This paper highlights the importance of interaction effects in explaining the behavioural tendency in the after-market.

The weak individual investors’ participation and greater attention reduce the market inefficiency in Malaysia.

The finding is consistent with the view that the level of individual investors’ participation and information disclosure requirements has an implication on behavioural bias, which affects DOP in the after-market.

The purpose of this paper is to theoretically and empirically explore the effects of attention levels on individual investors' investment return.

By introducing the heterogeneous attention, the authors first expand the theoretical model of Barber and Odean. The authors use graphical analysis, univariate analysis, multiple regression analysis and construct a portfolio to carry out an empirical study.

The authors first find evidence in support of Barber and Odean's price pressure hypothesis. By theoretical and empirical study, the authors conclude that attention negatively affects individual investors' investment return.

By introducing the heterogeneous attention, the paper provides a theoretical basis for empirical study. Baidu abnormal search volume was used as a proxy for individual investors' attention, and analysts' neutral ratings were used to empirically verify the theoretical theorem.

This paper investigates whether individual investors are attentive to stock splits and whether higher split ratios (stronger private information signals) reduce the disposition effect.

This study employs stock split events and transaction data in the Indonesia Stock Exchange (IDX) from January 2004 to December 2017. The authors measure individual investors' attention using buy-initiated trades. To test the effect of split signal on disposition effect, the authors regress individual investors' sell-initiated trades on past stock returns.

Unlike Birru (2015), the authors find that individual investors are attentive to stock splits, especially when stock split ratios are high. In turn, stock splits tend to weaken the disposition effect. The higher the stock split ratios, the weaker the disposition effect.

This study has a limitation in that the authors exclude all stock splits with dividend events around the split date. These stock splits cover 37% of all splits in Indonesia.

Practically, individual investors should look for stock-related information to reduce disposition bias.

To the best of authors’ knowledge, this study is the first to test individual investors' attention on stock splits based on their buy-initiated trades. This study is also the first to test the impact of stock split ratios on the disposition effect reduction. This study's findings enrich the scant literature on individual investors' attention and how to reduce their disposition effect bias.

This paper aims to examine the direct and indirect effects of advertising on investor behavior.

The authors use a novel and direct measure of investor attention: the number of investors whose watch lists has the stock.

The authors find that beyond its direct effect through information dissemination, advertising has an indirect effect with regard to grabbing investor attention and the trading response. The authors further find that an increase in attention induces a positive influence on the impact of advertising on investor behavior.

First, it complements studies of home bias, in which investors are more likely to buy familiar stocks. Second, it also complements the literature on advertising and investor attention and on attention and capital markets. Third, with a new and unambiguous measure of investor attention. Fourth, combining the direct and indirect aspects, this study presents a detailed description of the financial market effect of advertising.

The purpose of this paper is to empirically examine whether investor attention is a significant risk pricing factor.

Using investor attention data from Eastmoney.com, which provides for each stock the number of investors whose watch list includes that stock on a daily basis, this paper constructs a “heat” factor based on the change in investor attention and a “market exposure” factor based on the proportion of attention on a given stock over the attention to all stocks. Using the Fama−MacBeth two-step regression and a rolling analysis, this study examines the ability of the investor attention factor to explain market returns.

The empirical results show that there exists a risk premium for the “heat” factor and “market exposure” factor that is significantly different from zero. This finding shows that investor attention can systematically influence stock returns, making it a significant risk pricing factor.

This paper’s research on the risk pricing factors of investor attention can help investors to rationally build investment portfolios, avoid risks and form a sound investment concept, which will further reveal the information recognition mechanism of the capital market and standardize the information disclosure behavior of listed companies.

This paper provides evidence that investor attention is a risk pricing factor for the stock market. There are “heat” factors and “market exposure” factors in the Chinese stock market that significantly affect the purchasing behavior of individual investors.

Based on the theory of limited attention, the purpose of this paper is to investigate whether the investor behavior is influenced by attention, using the sample from earning announcement in China.

Empirical research using the earning announcement data in China. Specifically, the authors use the sample from 2005 to 2010 in listed A-share firms with earning announcements in Shanghai and Shenzhen stock market. Panel data regressions are used with Newey and West (1987) to correct for the potential heteroskedasticity and autocorrelation. The empirical results strongly support the hypothesis that limited attention impact investor behavior in China.

The authors find that the immediate price and volume reaction to earning surprise is much weaker and post-announcement drift is much stronger when a greater number of firms make earning announcements on the same day. The authors explain these findings mainly from behavioral bias. When investors process multiple information signals immediately or perform multiple objects simultaneously, their attention will be allocated selectively due to cognitive constraints. Such limited attention causes severe underreaction to immediate earnings announcement, therefore leads to mispricing abnormal related to public accounting information. In the long-run, the market adjusted and there is post-announcement drift.

Consistent with Hirshleifer et al. (2009), the findings in this study indicate that individual investors’ behaviors are influenced by their limited attention in China. The results are different from Yu and Wang (2010) conclusions that same-day concentrated announcement help investors and facilitate information dissemination in China. The findings are explained by the investor distraction hypothesis proposed by Hirshleifer et al. (2009) that investor distraction causes market underreaction.

The arrival of simultaneously extraneous earning information cause market prices and trading volume to react slowly to the relevant news about a firm because competing information signals distract investor from a given firm, causing market price to underreact to relevant news. These finding help us understand investor behavior and the impact of limited attention on security market.

Investor limited attention not only affects their stock-buying behavior, but also has an important impact on the efficiency of security market. Specifically, limited attention drive immediate underreaction to earning announcement and the post-earning announcement drift, especially when a greater number of same-day earning announcements are made by other firms.

Limited attention affects security market in China.