Investor Attention and Stock Returns
构建了一个基于多种代理变量的投资者关注指数，发现该指数能显著预测股票市场风险溢价，优于单个代理变量，并为均值-方差投资者带来可观的经济收益。
Abstract We propose an investor attention index based on proxies in the literature and find that it predicts the stock market risk premium significantly, both in sample and out of sample, whereas every proxy individually has little predictive power. The index is extracted using partial least squares, but the results are similar by the scaled principal component analysis. Moreover, the index can deliver sizable economic gains for mean-variance investors in asset allocation. The predictive power of the investor attention index stems primarily from the reversal of temporary price pressure and from the stronger forecasting ability for high-variance stocks.