Investigating the Effects of Analysts’ Attention on Non-systematic Risk of Stocks: Evidence from China’s Stock Market

Yan Han, Yuhao Zhang, Yuxuan Liao, Xingman Zhang, Xing Gao and Keyu Zhai

SAGE Open, 2025, vol. 15, issue 3, 21582440251377931

Abstract: The relationship between analysts’ attention and non-systematic risk significantly influences the stock market, offering the potential to enhance market transparency, mitigate information asymmetry, and impact investor decision-making and market stability. However, previous literature does not construct a rational framework between analysts’ attention and non-systemic risk. In addition, linear and direct relationships are default in existing studies. Thus, employing mediating effect model, this study wants to explore whether an increased focus by analysts can reduce non-systemic risk in stocks. Especially, we address the mediating impact of earnings management and understand heterogeneity and endogeneity issues in the mechanism. We find that analysts’ attention increases the non-systematic risk of stocks and there is an intermediary effect of accrued earnings management in the impact of analysts’ attention on the non-systematic risk of stocks. In addition, under excessive indebtedness, analysts’ attention has a heterogeneous impact on the non-systematic risk of stocks. This study not only constructs a theoretical framework for how analysts’ attention affects the non-systemic risk of stocks, but also explain the indirect relationships by employing mediating effect model. Furthermore, the explanation of heterogeneity and endogeneity enhances the interpretability and effectiveness of the model regression results. Our study will make a great difference in economic risk management.

Keywords: analysts’ attention; non-systematic risk; stock; listed companies; economic growth (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:15:y:2025:i:3:p:21582440251377931

DOI: 10.1177/21582440251377931

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