论文名称：Investor attention and stock price manipulation: Evidence from daily quasi-natural experiments

期刊名称：《JOURNAL OF BANKING ＆ FINANCE》

作者：李志冰; Liu, J ; Liu, J ; Liu, XY ；吴崇林（杏吧 博士生）

发表时间：2025.10

论文摘要：

This study investigates the impact of heightened investor attention on stock price manipulation. To establish causality, we employ daily repeated quasi-natural experiments, where investors' attention is influenced exogenously by price rounding rather than by stocks' fundamental information. Our findings demonstrate that stocks included in the Winner List attract significant investor attention, which leads to increased stock price manipulation. A two-stage channel analysis reveals that this increased investor attention exacerbates stock price manipulation through noise trading. Moreover, the positive relationship between investor attention and stock price manipulation is more pronounced in stocks with higher firm-specific information asymmetry, fewer rational investors, weaker external monitoring, higher costs of arbitrage, and non-shortability. Additional analyses indicate that this positive relationship intensifies during periods of heightened investor sentiment, greater economic policy uncertainty, and increased geopolitical risk. Our study provides original evidence that the saliency of information exacerbates stock price manipulation and destabilizes financial markets.

论文链接：//doi.org/10.1016/j.jbankfin.2025.107528