The role of investor attention in idiosyncratic volatility puzzle and new results

Jungshik Hur () and Vivek Singh ()
Additional contact information
Jungshik Hur: Louisiana Tech University
Vivek Singh: University of Michigan-Dearborn

Review of Quantitative Finance and Accounting, 2022, vol. 58, issue 1, No 13, 409-434

Abstract: Abstract We find that stocks with low investor attention show a more substantial return-idiosyncratic volatility puzzle than stocks with high investor attention. We also document that high idiosyncratic volatility stocks with high investor attention at the end of the month when portfolios are formed are responsible for the puzzle, but they lose investor attention and have negative returns at the beginning of the next month. We further show that the idiosyncratic volatility puzzle exists only in the first half of the following month after portfolios are formed. It holds even for stocks with low investor attention.

Keywords: Expected returns; Idiosyncratic volatility; Investor attention (search for similar items in EconPapers)
JEL-codes: G12 G14 G20 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11156-021-00999-w Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:58:y:2022:i:1:d:10.1007_s11156-021-00999-w

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-021-00999-w

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().