Losing sight of the trees for the forest? Attention allocation and anomalies
检验投资者注意力转移假说对资产定价的影响，构建公司特定信息关注度动态指标，发现其正向预测盈余公告后漂移和配对交易收益，负向预测动量策略成功，揭示注意力分配对价格发现的重要性。
This paper tests asset pricing implications of the investor attention shift hypothesis proposed in theoretical work. We create a novel proxy for the dynamics of inattention towards firm-specific information and explore its impact on prominent return anomalies. As hypothesized and with all else equal, the proxy positively predicts the post-earnings announcement drift as well as the profitability of pairs trading, and negatively predicts the success of momentum strategies. Taken together, our findings highlight the importance of time-varying investor attention allocation for the price discovery process.