This paper investigates the impact of investor attention on the dynamics of the value premium. We find superior return differences to value-growth strategy conditioned as low degree of investor attention. In contrast, return differences to the value-growth strategy conditioned as high investor attention are indifferent from zero. We show that return differences to low degree of investor attention across value and growth firms are attributed to mispricing explanation using common risk factors, mispricing factors, sentiment analysis, multivariate analysis, and market expectation errors approach. The findings suggest that investor attention contributes to generating superior return differences to standard value-growth strategy. Our finding concludes that long-short investment strategy in value stocks and growth stocks conditioned as low investor attention generate superior value premium

Investor attention, information acquisition, and value premium: A mispricing perspective / Oriani, Raffaele; Ahmad, Fawad. - In: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. - ISSN 1873-8079. - 79:(2022), pp. 1-23. [10.1016/j.irfa.2021.101976]

Investor attention, information acquisition, and value premium: A mispricing perspective

Oriani Raffaele
;
Fawad Ahmad
2022

Abstract

This paper investigates the impact of investor attention on the dynamics of the value premium. We find superior return differences to value-growth strategy conditioned as low degree of investor attention. In contrast, return differences to the value-growth strategy conditioned as high investor attention are indifferent from zero. We show that return differences to low degree of investor attention across value and growth firms are attributed to mispricing explanation using common risk factors, mispricing factors, sentiment analysis, multivariate analysis, and market expectation errors approach. The findings suggest that investor attention contributes to generating superior return differences to standard value-growth strategy. Our finding concludes that long-short investment strategy in value stocks and growth stocks conditioned as low investor attention generate superior value premium
Investor attention; The SEC’s EDGAR log files; Value premium; Mispricing
Investor attention, information acquisition, and value premium: A mispricing perspective / Oriani, Raffaele; Ahmad, Fawad. - In: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. - ISSN 1873-8079. - 79:(2022), pp. 1-23. [10.1016/j.irfa.2021.101976]
File in questo prodotto:
File Dimensione Formato  
Investor attention,information acquisition.pdf

Solo gestori archivio

Tipologia: Versione dell'editore
Licenza: Tutti i diritti riservati
Dimensione 4.83 MB
Formato Adobe PDF
4.83 MB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/224022
Citazioni
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 2
social impact