Abstract
We find that several well-documented stock return anomalies arise and persist only among stocks with smaller (institutional) investor bases, which are presumably stocks that are neglected by investors. These results are driven by the short side of the long-short trading strategies, they appear even after controlling for several stock characteristics (e.g., market capitalization and institutional ownership) and potential risk factors, and they are considerably more pronounced during periods with more information and/or less technology. Overall, these findings suggest that the incomplete dissemination of (negative) information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies.
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