Investor attention,information acquisition,and value premium: A mispricing perspective |
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| Institution: | 1. Business Administration Department, IQRA University, Islamabad, Pakistan;2. Department of Business & Management, LUISS Guido Carli University, Rome, Italy;1. Department of Accounting, College of Business, San Francisco State University, San Francisco, CA 94132, USA;2. Shenzhen Audencia Business School, WeBank Institute of Fintech, and Guangdong Laboratory of Artificial Intelligence and Digital Economy (SZ), Shenzhen University, Shenzhen 518060, China;3. Finance Department, Audencia Business School, Nantes 44300, France;5. Portsmouth Business School, University of Portsmouth, UK;1. Cardiff Business School, Colum Drive, University of Cardiff, Cardiff CF10 3EU, UK;2. Bradford Management School, Bradford University, Richmond Road, Bradford BD7 1DP, UK;1. Department of Mathematical Sciences, Bentley University, Waltham, MA 02452, USA;2. Department of Mathematical Sciences, Florida Atlantic University, Boca Raton, FL 33431-0991, USA;1. School of Economics and Management, Shihezi University, China;2. School of Management, Xi''an Jiaotong University, China;1. Belk College of Business, University of North Carolina at Charlotte, Charlotte, NC 28223, USA;2. Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, 178899, Singapore;3. Bryan School of Business, University of North Carolina at Greensboro, Greensboro, NC 27402, USA;4. Olin School of Business, Washington University, St. Louis, MO 63130, USA |
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| 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. |
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