학회소식
공지사항
[2011년 제 4차] Returns to Buying Positive Attention and Selling Ne
작성자 : 관리자
조회수 : 1085
게시일 :
2011-12-07
This paper shows that a source of investor attention, whether it is positive or negative, provides further information on future stock returns while previous studies focus on investor attention itself. We assume that high trading volume with a positive (negative) return means investor attention attracted by a positive (negative) event. We show that strategies which buy stocks that have had positive attention and sell stocks that have had negative attention generate significant positive returns over 3- to 12-month holding periods. These results are robust to controls for size, book-to-market, and momentum. Compared to price momentum strategies, our attention strategies are more robust and consistent across all sub-periods. Moreover, momentum profits are disappeared after controlling for the attention effect. Our attention strategies also provide direct evidence for behavioral models on overreaction, such as Barberis et al. (1998) and Daniel et al. (1998).