Investor Attention and Asset Pricing Anomalies

Abstract We investigate the relationship between investor attention and financial market anomalies. find that anomaly returns tend to be higher following high-attention days. The result is robust after controlling for effect of news in a natural experiment setting which stock regulation rounding errors generate exogenous variations attention. An analysis order imbalances suggests large traders trade on signals more aggressively upon observing discuss extent findings are driven by inattention-driven underreaction, bias amplification, or coordinated arbitrage mechanisms, thereby providing insight into understanding