
Fawad Ahmad
Postdoc

Investor attention, information acquisition, and value premium : A mispricing perspective
Författare
Summary, in English
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.
Publiceringsår
2022-01
Språk
Engelska
Publikation/Tidskrift/Serie
International Review of Financial Analysis
Volym
79
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Business Administration
Nyckelord
- Investor attention
- Mispricing
- The SEC's EDGAR log files
- Value premium
- G11
- G12
- G14
- G41
Aktiv
Published
ISBN/ISSN/Övrigt
- ISSN: 1057-5219