In the A-share market, which is dominated by retail investors, most investors lack financial market expertise. Securities analysts’ attention to listed companies has become a reference for investors’ 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.

analyst attention, Idiosyncratic volatility, stock return, Idiosyncratic volatility effect