Losing Sight of the Trees for the Forest? Attention Allocation and Anomalies

Jacobs, Heiko ; Weber, Martin

SSRN-id1787108.pdf - Published

Download (1MB)

URL: https://ub-madoc.bib.uni-mannheim.de/34215
URN: urn:nbn:de:bsz:180-madoc-342159
Document Type: Working paper
Year of publication: 2013
Place of publication: Mannheim
Publication language: English
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Subject: 330 Economics
Classification: JEL: G12 , G14,
Keywords (English): Limited attention , investor distraction , attention shifts , pairs trading , relative-value arbitrage
Abstract: This paper tests asset pricing implications of the investor attention shift hypothesis proposed in recent theoretical work. We create a novel proxy for the dynamics of inattention towards firm-specific information and explore its impact on prominent return anomalies. As hypothesized and with all else equal, the proxy positively predicts the post-earnings-announcement drift and negatively predicts the success of momentum strategies. Moreover, it has explanatory power for the profitability of pairs trading, a promising yet widely neglected setting concerned with the relative pricing efficiency of economically linked stocks. Taken together, our findings highlight the importance of time-varying investor attention allocation.

Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

Metadata export


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics

You have found an error? Please let us know about your desired correction here: E-Mail

Actions (login required)

Show item Show item