中文摘要：

文献表明投资者关注具有有限性，并且会影响股票收益。通过使用来自东方财富Choice投资者自选股的数据作为投资者有限关注的代理变量，利用面板回归检验了投资者关注度与股票收益间的关系。结果表明投资者关注度提升对股票价格在当日和随后五日中会产生正向影响，在一周后发生反转并在随后的四周中持续。投资者在下期关注度的提升也受上期投资者关注度、股票价格和成交量增加的影响。实证结果还表明中国证券市场中存在着显著的“冷门股效应”，即投资者关注度低的股票可以获得比投资者关注度高的股票更高的收益，这种“冷门股效应”会稳定地延续到未来的几周。

英文摘要：

Past research has shown that investor attention has the characteristic of being limited and it can influence stock returns. We propose a new and direct measure of investor attention by using data of investor＇s self-select stocks from Oriental Wealth Choice and test the hypotheses by building a panel data model. The results indicate that an increase in investor attention predicts higher stock price in the first 5 days and then lower stock price in four weeks afterwards. Moreover, we find an increase in investor attention, stock price or trading volume predicts higher investor attention in the future. Finally, we identify the ＂Neg- lected firm effect＂ in Chinese security markets ,which means stocks with less investor attention produce more returns than those with more attention, and the phenomenon will last to a few weeks later.