A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum

By Kewei Hou, Lin Peng. 2009

394 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/555319803e8458dd29735809093dbe398fd76369

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Azi Ben-Rephael
2. Ryan D. Israelsen
3. Zhi Da
4. Raman Uppal
5. Victor DeMiguel
6. Francisco Javier Nogales
7. Yu Yuan
8. Amal Aouadi

In Finance

1. Francisco Javier Nogales
2. Victor DeMiguel
3. Raman Uppal
4. Azi Ben-Rephael
5. Ryan D. Israelsen
6. Zhi Da
7. Yu Yuan
8. F. Teulon

In Management Science and Operations Research

1. Francisco Javier Nogales
2. Victor DeMiguel
3. Raman Uppal
4. Amal Aouadi
5. Joseph E. Engelberg
6. Azi Ben-Rephael
7. Yu Yuan
8. Andrea Frazzini

Citations in the corpus

• Economic Links and Predictable Returns (2008, background): “Hirshleifer and Teoh (2003) and Peng and Xiong (2006) also model investor inattention and derive empirical implications for security prices.”
• The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes (2013, neutral): “Klibanoff (1998), Huberman and Regev (2001), Tetlock (2007), Fang and Peress (2009)).”
• Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014, background): “And, Jagannathan and Ma (2003) confirm this in practice: they find that the minimum-variance portfolio (which ignores estimates of expected returns) outperforms portfolios that rely on forecasts of expected returns, even when performance is measured using the Sharpe ratio, which depends on both the ”
• Costly Information Processing: Evidence from Earnings Announcements (2008, background): “Second, there is a growing trend in the literature demonstrating the key role of the media as an information intermediary (Huberman and Regev (2001), Dick and Zingales (2002, 2003), Miller (2006), Tetlock (2007), Tetlock et al.”
• Limited attention and the earnings announcement returns of past stock market winners (2010, neutral): “Limited attention has been conjectured as an explanation for investors’ underreaction to earnings surprises (Hirshleifer et al. 2008; Hou et al. 2008 ), their underreaction to the information in pro-forma earnings announcements”
• Market-Wide Attention, Trading, and Stock Returns (2015, background): “Hou, Peng, and Xiong (2009) and Li and Yu (2012) analyze the interaction of limited attention and overreaction (underreaction), and find supporting evidence for the impact of attention.”
• Investor attention and stock market activity: Evidence from France (2013, background): “2 Trading volume (Gervais et al., 2001;Hou et al., 2006; Barber andOdean, 2008),media coverage (Barber and Odean, 2008; Yuan, 2011), advertising expenditure (Grullon et al.”