Investor attention and the risk-return trade-off
- Authors
- Lee, Eun Jung; Lee, Yu Kyung; Kim, Ryumi
- Issue Date
- Jun-2022
- Publisher
- Elsevier BV
- Keywords
- Risk-return trade-off; Investor attention; Risk-return tradeoff; Risk
- Citation
- Finance Research Letters, v.47, pp 1 - 10
- Pages
- 10
- Indexed
- SSCI
SCOPUS
- Journal Title
- Finance Research Letters
- Volume
- 47
- Start Page
- 1
- End Page
- 10
- URI
- https://scholarworks.bwise.kr/erica/handle/2021.sw.erica/111088
- DOI
- 10.1016/j.frl.2021.102524
- ISSN
- 1544-6123
1544-6131
- 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.
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