eng Science and Education Publishing Journal of Finance and Accounting 2333-8857 2021-08-06 9 1 32 40 10.12691/jfa-9-1-3 JFA2021913 article Yingcai Huang yingcai0828@163.com 1 School of Securities and Futures, Southwestern University of Finance and Economics, Chengdu, China 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. http://pubs.sciepub.com/jfa/9/1/3/jfa-9-1-3.pdf analyst attention Idiosyncratic volatility stock return Idiosyncratic volatility effect