Investor Attention and Stock Returns: International Evidence |
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Authors: | Liyan Han Ziying Li |
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Institution: | 1. School of Economics and Management, Beihang University, Beijing, China;2. Chicago Booth School of Business, The University of Chicago, Chicago, Illinois, USA |
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Abstract: | This article examines the asymmetric/discriminative effects of investor attention on expected stock returns among 15 markets through economic expansions and recessions. The predictive power of attention tends to be short-lived and weakens the autocorrelation within returns. Accounting for business cycles not only confirms that the predictability of attention endures with volatility but also explicates the asymmetric effects that underlying pessimism functions better. International evidence contributes to the literature on investor attention and reveals the discrepant effects of attention with three levels of market efficiency: semi-strong, stronger than semi-strong, and weak. |
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Keywords: | asymmetric effect international evidence investor attention market efficiency return predictability |
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