Abstract: With the development of new information technology and the application of the Internet, our society has already moved into a big data era, making the interaction among users effective. In this big data era, users are not only the traditional users of the Internet content, but also the participants and providers of the Internet content. The methods that users can implement to gather information are much more diversified and convenient, which makes investors rely more on the Internet information to make their investment decisions. Based on behavioral finance theory, the impact of investors’ attention on market pricing has attracted the interest of scholars. Existing researches on investors’ attention are mainly based on the two theories: One is the limited attention theory, which argues that investors prefer to buy the stocks they pay attention to. The other is the information transmission theory, which suggests that public disclosure motivates investors to pay attention and obtain private information, and investors’ attention may not have a positive impact on the market reaction.
This paper uses empirical research methods to analyze the influence of investors’ attention on market reaction of the M&A announcement. Taking 2015-2018 major asset restructuring of listed companies as the research sample, the following three research conclusions are obtained. First, based on the logic of investors’ attention causing price to increase, the increase in investors’ attention will lead to the more positive market reaction of M&A announcement. However, the positive market reaction will finally reverse in the long term, illustrating the nature of positive reaction is attention effect rather than information transmission. Second, the M&A dealing with performance commitment receives more attention from investors, which have a more significant positive effect on the M&A announcement market reaction. Third, for the listed companies operating in environments of poor information disclosure quality, the M&A announcement’ market mispricing caused by investors’ attention is more significant, which proves that higher disclosure quality will significantly alleviate the market mispricing caused by investors’ attention and lead to a more rational market pricing level.
The innovative and theorical contributions of this paper are as follows. First, using the Baidu search index and East-money stock forum data, this paper empirically examines the effect of investors’ attention to the M&A announcement on the market reaction. The paper reveals that investors’ subjective behaviors will cause the irrational pricing practice in the capital market and enriches the research content of behavioral finance theories. Second, based on the perspective of investors’ attention, this paper distinguishes the effect of investors’ attention on market reaction of the M&A announcement under different situations, providing new views to the researches concerning factors influencing the market reaction of the M&A announcement. This paper transfers the traditional research to the information demand side, the investors, to reveal the mechanism of investors’ attention and decision-making process, extending the research on the wealth effect in the M&A transaction. Third, this paper reveals the mechanism of investor attention to the market reaction behavior. This study provides a theoretical reference for an in-depth understanding of the investors’ market reaction to complex strategic activities including M&A.
In the future, investors’ search information and stock forum information can be further mined and tested for heterogeneity, to fully understand investors’ information behavior mechanism and provide more references for behavioral finance theory.

Key words: investors’ attention; M&A announcement; market reaction; information delivery

摘要： 本文以2015—2018年我国A股上市公司重大资产重组交易为研究样本,检验了投资者关注对并购公告市场反应的影响作用。研究结果发现:投资者关注的增加会导致正向的并购公告市场反应,且市场反应在后期出现逆转,表明投资者关注通过注意力效应而非信息传递效应影响了市场定价。异质性检验发现,有业绩承诺的并购交易受到投资者关注程度更高,对并购公告市场反应的正向影响更显著;信息环境差的情景下,投资者的注意力效应更容易对并购公告市场反应产生正向影响。研究结论从投资者关注视角拓展了并购财富效应的研究,为资本市场制度的完善提供参考。

关键词: 投资者关注, 并购公告, 市场反应, 信息传递