Prior literature has documented that investor attention is associated with the pricing of stocks. We examine attention comovement, the extent to which investor attention for a firm is affected by attention paid to the industry and market in general. We find that attention comovement is positively related to comovement in firm fundamentals, and is also related to firm characteristics, such as si...

Objective: The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or mispricing. According to rational frictionless asset pricing model, the ability of accruals to predict returns should come from the loadings on this accrual factor loading that pred...

Investors’ reaction to stock recommendations is often incomplete so that there is a predictable post-recommendation drift. I investigate whether investor inattention contributes to this drift by using turnover as a proxy for investor attention. I find that the recommendation drift of firms with low prior turnover is more than double in magnitude compared to that of firms with high prior turnove...

this research intends to investigate the relationship between financial information transparency and investor behavior in tse, in order to provide safety trade and improve performance of the financial market in iran. in last decade transparency of the financial market has been known as one of the most effective variables in determining investor strategy. this study examines perception of transp...