Investor attention, psychological anchors, and stock return predictability

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How researchers see this paper

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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 Returns (2020, neutral): “Those by Li and Yu (2012) and Yuan (2015) seem to be the only such articles; both find only in-sample evidence of predictability.”
Does It Pay to Pay Attention (2018, neutral): “…itself, leading researchers to resort to attention proxies such as trading volume 6 ((Gervais, Kaniel, and Mingelgrin, 2001)), price limits (Li and Yu (2012) and Seasholes and Wu (2007)), and news (Yuan (2015) and Barber and Odean (2007)), and making the implicit assumption that investors…”
Time series momentum: Is it there? (2020, background): “Second, as a predictor, the past 12-month return is persistent and can generate substantial size distortions (Hodrick, 1992; Stambaugh, 1999; Campbell and Yogo, 2006; Ang and Bekaert, 2007; Boudoukh, Richardson and Whitelaw, 2008; Li and Yu, 2012).”
Reference-Dependent Preferences and the Risk-Return Trade-Off (2017, neutral): “See Baker, Pan, and Wurgler (2012) on mergers and acquisitions, George and Hwang (2004) and Li and Yu (2012) on the predictive power of 52-week high prices, and Dougal, Engelberg, Parsons, and Van Wesep (2015) on credit spread.”