Abstract: Using stock codes search data from A-share mainboard listed companies in Shanghai and Shenzhen markets, this paper constructs retail investor attention indicators at market, industry, and individual stock levels to investigate their impacts on stock returns. The findings reveal positive correlations between retail investor attention and same-day stock returns across all three dimensions. However, distinct patterns emerge in longer-term performance: industry-level and individual stock-level attention indicators exhibit long-term reversal effects on returns, whereas market-level attention demonstrates persistent influence without significant subsequent reversal. Further analysis confirms that market-level attention exhibits more remarkable persistence than industry and individual stock dimensions. After controlling for contemporaneous market-wide attention, industry- and stock-specific attention measures maintain their long-term reversal effects, consistent with their impacts on individual stock returns. These results remain robust after excluding extreme risk events, controlling for the December effect, and employing alternative measurement methodologies. Additionally, the impact of attention on stock returns displays heterogeneity across market risk states, manifesting more pronounced effects during high-risk market conditions.

Key words: retail investors, investor attention, Baidu Index, stock returns, A-share stock market

摘要： 本文基于沪深A股市场主板上市股票的代码搜索数据，分别从市场、行业及个股3个维度构建散户关注度指标，以探究其对股票收益的影响。研究表明，在3个维度上，散户关注度指标与当日股票收益均呈正相关。然而，在行业与个股维度上，关注度指标对股票收益的影响存在长期反转现象，而市场维度在后期则未表现出显著反转。进一步检验发现，市场维度关注度的持续性显著强于行业与个股维度；即便剔除同时期市场关注度的影响，行业与个股关注度仍呈现长期反转效应，与二者对个股回报的影响方向一致。上述研究结论在排除极端风险事件、考虑十二月效应以及更换指标计算方法后依然稳健。此外，关注度对股票收益的影响在不同市场风险状态下存在异质性，具体表现为在市场高风险时期影响更为显著。

关键词: 散户, 投资者关注度, 百度指数, 股票收益, A股