@article{jfa2021913,
author={Huang, Yingcai},
title={Securities Analyst Attention and Idiosyncratic Volatility Effect: Empirical Research on China Stock Market},
journal={Journal of Finance and Accounting},
volume={9},
number={1},
pages={32--40},
year={2021},
url={http://pubs.sciepub.com/jfa/9/1/3},
issn={2333-8857},
abstract={In the A-share market, which is dominated by retail investors, most investors lack financial market expertise. Securities analystsĄ¯ attention to listed companies has become a reference for investorsĄ¯ transactions. Based on the data of non-financial listed companies in Shanghai and Shenzhen A-share markets from 1997 to 2020, this paper empirically studies the influence of analyst attention on the idiosyncratic volatility effect by means of portfolio analysis and Fama-Macbeth regression analysis. The results show that: Firstly, A-share market has a significant idiosyncratic volatility effect, and it still exists after adding company, market, annual and industry variables; Secondly, Analyst attention will significantly reduce the idiosyncratic volatility effect, and it still exists significantly after adding company, market, annual, and industry control variables; the research conclusions provide practical guidance for explaining the idiosyncratic volatility effect and the forecast of analyst attention.},
doi={10.12691/jfa-9-1-3}
publisher={Science and Education Publishing}
}