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Fawad Ahmad. Foto

Fawad Ahmad

Postdoc

Fawad Ahmad. Foto

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

Författare

  • Fawad Ahmad
  • Raffaele Oriani

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