Investor attention, information acquisition, and value premium : A mispricing perspective
(2022) In International Review of Financial Analysis 79.- 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... (More)
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.
(Less)
- author
- Ahmad, Fawad LU and Oriani, Raffaele
- publishing date
- 2022-01
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Investor attention, Mispricing, The SEC's EDGAR log files, Value premium, G11, G12, G14, G41
- in
- International Review of Financial Analysis
- volume
- 79
- article number
- 101976
- publisher
- Elsevier
- external identifiers
-
- scopus:85119970255
- ISSN
- 1057-5219
- DOI
- 10.1016/j.irfa.2021.101976
- language
- English
- LU publication?
- no
- additional info
- Publisher Copyright: © 2021
- id
- fae6eb14-6776-46d3-a998-a5ba2b0faee1
- date added to LUP
- 2024-09-14 22:13:22
- date last changed
- 2025-04-04 15:11:32
@article{fae6eb14-6776-46d3-a998-a5ba2b0faee1,
abstract = {{<p>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.</p>}},
author = {{Ahmad, Fawad and Oriani, Raffaele}},
issn = {{1057-5219}},
keywords = {{Investor attention; Mispricing; The SEC's EDGAR log files; Value premium; G11; G12; G14; G41}},
language = {{eng}},
publisher = {{Elsevier}},
series = {{International Review of Financial Analysis}},
title = {{Investor attention, information acquisition, and value premium : A mispricing perspective}},
url = {{http://dx.doi.org/10.1016/j.irfa.2021.101976}},
doi = {{10.1016/j.irfa.2021.101976}},
volume = {{79}},
year = {{2022}},
}