Abstract: Stock price hitting the historical highs is a kind of exceptional event, which always attracts investors' attention. The simple abnormal return model is used to study the exceptional event in A share market in China from 1995 to 2011, and to analyse how investors' attention affects stock returns which come after stocks hitting the historical highs. It is found that abnormal phenomenon happened after stocks price creating new historical records. In detail, stock returns are significantly positive in 3 days after the exceptional event and then turn to be negative a week later. We name this phenomenon "new-high effect". By comparing different levels of attention and various market situations, it is also found that actual historical highs create much stronger "new-high effect" than nominal historical highs do. Additionally, "new-high effect" is remarkable in the bull market than in the bear market. Furthermore, abnormal media news is used as a proxy for the investors' attention and it is showed that the investors' attention is an important factor of "new-high effect".

Key words: limited attention, stock price, historical high, abnormal return, new-high effect