Abstract

Using a direct measure of investor attention generated from the Securities and Exchange Commission’s EDGAR (Electronic Data Gathering, Analysis, and Retrieval) log files, the authors revisit the stock return predictability of the divergence of opinions in the presence of varying degree of investor attention and information acquisition. They document a positive relationship between the divergence of opinions and future stock returns, consistent with the risk hypothesis, as opposed to the overvaluation hypothesis. More importantly, the authors find that the predictive power of divergence of opinions is more pronounced in stocks with lower investor attention. They further document the construction and profitability of divergence of opinions portfolios augmented with investor attention. A portfolio that goes long on stocks with low investor attention and the highest divergence of opinions and short on stocks with low attention and the lowest divergence of opinions generates a Fama-French 5-factor monthly alpha of 1.14%.

摘要

使用从证券交易委员会的 EDGAR（电子数据收集、分析和检索）日志文件中产生的投资者注意力的直接测量，作者重新审视了在存在不同程度的投资者注意力的情况下意见分歧的股票回报可预测性和信息获取。他们记录了意见分歧与未来股票回报之间的正相关关系，与风险假设一致，而不是高估假设。更重要的是，作者发现意见分歧的预测能力在投资者关注度较低的股票中更为明显。他们进一步记录了随着投资者的关注而增强的意见分歧投资组合的构建和盈利能力。