Does investor attention matter for market anomalies?

Hung T. Nguyen and Mia Hang Pham

Journal of Behavioral and Experimental Finance, 2021, vol. 29, issue C

Abstract: This paper examines the relation between investor attention and stock market anomalies in the US stock market. We find anomalies are stronger following high rather than low attention periods. Returns on the long–short strategy based on a composite mispricing score during high attention months are 2.25 times higher than those during low attention periods. The results are consistent with the notion that high levels of attention can exacerbate investor overreaction to irrelevant information. Mispricing is then corrected, leading to increased anomaly returns following high attention periods.

Keywords: Investor attention; Market anomalies; Mispricing (search for similar items in EconPapers)
JEL-codes: D91 G11 G12 G41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303804

DOI: 10.1016/j.jbef.2020.100451

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