Abstract
This study explores the role of investor attention impact on low-volatility strategy. Our evidence suggests that a low-volatility strategy for high investor attention stocks is more profitable than low investor attention stocks. Conditioned on high investor attention, the profitability of a low-volatility strategy significantly increases due to lower returns on higher idiosyncratic volatility stocks. Consistent with recent optimal beliefs theory, investors’ propensity for gambling-type strategies leads to negative returns with high idiosyncratic volatility stocks. Our results provide a behavioral support to explain the low-volatility strategy based on investors’ propensity to gamble.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
