| Abstract: | 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 distracted by simultaneous events. Overall, the previous empirical evidence about the ranking lists basically supports the investor attention hypothesis. |
