Investor attention and the risk-return trade-off
- Title
- Investor attention and the risk-return trade-off
- Author
- 이은정
- Keywords
- Risk-return trade-off; Investor attention; Risk-return tradeoff; Risk
- Issue Date
- 2022-06
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Citation
- FINANCE RESEARCH LETTERS, v. 47, article no. 102524,
- Abstract
- Previous empirical studies find a negative and significant relation between risk measures and expected future stock returns. Using four risk measures, we document that the negative risk -return relation is more pronounced among firms that receive high levels of attention from in-vestors, while a standard positive risk-return relation holds among stocks to which investors pay little attention. Regardless of our proxy for risk, we find that the magnitude and statistical sig-nificance of the risk-related puzzle monotonically decreases as we move from high to low levels of investor attention. These findings suggest that investor attention may play a central role in risk-related anomalies.
- URI
- https://www.sciencedirect.com/science/article/pii/S1544612321004906?via%3Dihubhttps://repository.hanyang.ac.kr/handle/20.500.11754/182463
- ISSN
- 1544-6123;1544-6131
- DOI
- 10.1016/j.frl.2021.102524
- Appears in Collections:
- COLLEGE OF BUSINESS AND ECONOMICS[E](경상대학) > BUSINESS ADMINISTRATION(경영학부) > Articles
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