Are Top-Tens Better? A Study on Investor Attention and Ranking Lists

Using the upper price limit-hitting events, in the Shanghai Stock Exchange in China, as the basis for comparison, we find that limit-hitting stocks in the top-ten ranking list of daily returns attract investors' attention, and bring about significant abnormal return in excess of those list-excluded limit-hitting stocks. The result is robust after controlling for firm characteristics and market states. Compared with their limit-hitting peers, we find that stocks listed in top-tens are more likely to be exposed to market sentiment inspired trading, and less likely to be distracted by contemporaneous limit-hit events, which is consistent with the limited attention hypothesis