Attention Difference, Violation Announcement and Abnormal Return —An Empirical Study based on
Baidu Index, Yinglin Wan

Abstract
We use violations announcements of listed firms reported by China Securities Regulatory Commission (CSRC) during 2011-2016 as negative events, and apply Baidu index to investigate the influential mechanism of attention difference on abnormal returns. The empirical results show that a higher degree of attention difference has a significant negative effect on abnormal returns. Specifically, for firms with a higher degree of attention difference on time and regional dimension, the cumulated abnormal returns of listed companies during the violation period will have decreases that are more significant.

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