Securities Analyst Attention and Idiosyncratic Volatility Effect: Empirical Research on China Stock Market

Yingcai Huang^1,

¹School of Securities and Futures, Southwestern University of Finance and Economics, Chengdu, China

Cite this paper:
Yingcai Huang. Securities Analyst Attention and Idiosyncratic Volatility Effect: Empirical Research on China Stock Market. Journal of Finance and Accounting. 2021; 9(1):32-40. doi: 10.12691/jfa-9-1-3

Abstract

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.

Keywords:
analyst attention Idiosyncratic volatility stock return Idiosyncratic volatility effect

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