The role of investor attention in idiosyncratic volatility puzzle and new results

被引：0
作者：
Jungshik Hur
Vivek Singh
机构：
[1] Louisiana Tech University,Department of Economics and Finance, College of Business
[2] University of Michigan-Dearborn,Department of Accounting and Finance, College of Business
来源：
Review of Quantitative Finance and Accounting | 2022年 / 58卷
关键词：
Expected returns; Idiosyncratic volatility; Investor attention; G12; G14; G20;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We find that stocks with low investor attention show a more substantial return-idiosyncratic volatility puzzle than stocks with high investor attention. We also document that high idiosyncratic volatility stocks with high investor attention at the end of the month when portfolios are formed are responsible for the puzzle, but they lose investor attention and have negative returns at the beginning of the next month. We further show that the idiosyncratic volatility puzzle exists only in the first half of the following month after portfolios are formed. It holds even for stocks with low investor attention.
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页码：409 / 434
页数：25
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