Limited Attention and Stock Performance:An Empirical Study Using Baidu Index as the Proxy for Investor Attention

We propose a direct measure of investor attention using Baidu Index.In a sample of Growth Enterprise Market,we find the investor attention can affect the stock market performance with this proxy of investor attention.An increase in Baidu Index predicts higher stock price in that day and an eventual price reversal in the next few days.It also contributes to the jump of stock price in call auction.