一些学者通过研究证明，投资者有限关注会对股票收益率产生影响。本文采用2015年1月1日到2019年1月1日创业板中开盘日最多的100只股票为研究样本，分别构造了账面市值比投资组合、规模-账面市值比投资组合、规模投资组合，控制Fama-French三因子变量，对投资者有限关注对股票横截面收益的影响进行实证研究。研究结果显示：投资者有限关注对股票的横截面收益有一个正向的影响；我国的创业板市场中存在着显著的规模效应，但账面市值比效应并不明显存在。

Previous studies have shown that investor sentiment has an impact on stock returns. In this paper, 100 stocks with the most opening days in gem from January 1, 2015 to January 1, 2019 are used as research samples, to structure size portfolio, size - book-to-market ratio portfolio, book-to-market ratio portfolio, controlling the Fama-French three factor variables, to do an empirical study on the effect of investors' limited attention on stock cross - sectional returns. The results showed the limited focus of investors has a positive effect on cross-sectional returns of stocks. There is significant scale effect in gem market in China, but the book-to-market effect is not obvious.