Zhai, Xiao-ying; Hou, Ying-ying; Li, Yuanshun - In: Journal of Business Economics and Management (JBEM) 21 (2020) 3, pp. 914-941
Using the "Dragon and Tiger" list, we construct a clean indicator that directly measures investor attention … stock listed on "Dragon and Tiger" list on listing day is negative; ii) Investor attention is negatively correlated with … stock returns when the stock entered in "Dragon and Tiger" list experienced current cumulative monthly return is negative …
