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Using a search frequency index from Baidu.com as a measure of investor attention, we find that investor attention has a significant and positive effect on the stock return within a week in China’s stock market. This effect is reversed from the second week on, but the transitory positive effect in the beginning cannot be completely offset by the reversal of stock returns within a year. It was further found in this study that a higher fraction of institutional ownership yields weaker transitory effects from investor attention on the stock return the next week and stronger return reversals after a month.
