Download This PaperA Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
Fisher College of Business Working Paper No. 2025-03-008
Charles A. Dice Center Working Paper No. 2025-08
48 Pages Posted: 2 Apr 2025
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A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
Date Written: March 03, 2025
Abstract
We examine the role of investor attention in explaining price and earnings momentum anomalies using an extensive set of established and novel attention measures. Our analysis reveals a striking contrast: price momentum profits are larger among high-attention stocks, while earnings momentum profits are stronger among low-attention stocks. These findings support a dual mechanism through which attention influences momentum: investor inattention leads to underreaction to earnings news, while heightened attention amplifies behavioral biases that drive price momentum. Moreover, we uncover significant heterogeneity in how different attention measures relate to momentum, reflecting variations in investor clientele and attention channels.
Keywords: Attention, Price Momentum, Earnings Momentum, Anomalies, Overreaction, underreaction
JEL Classification: G12, G14, G40
Suggested Citation: Suggested Citation
(March 03, 2025). Fisher College of Business Working Paper No. 2025-03-008, Charles A. Dice Center Working Paper No. 2025-08, Available at SSRN: https://ssrn.com/abstract=5202255 or http://dx.doi.org/10.2139/ssrn.5202255
Kewei Hou (Contact Author)
Ohio State University (OSU) - Department of Finance ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
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