Earticle

초록

영어

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 investors, 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 significance 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. We also find that the risk-related puzzle is prominent in stocks to which individual investors pay more attention but almost non-existent in stocks to which institutional investors pay attention.

목차

Abstract
1. Introduction
2. Data and Variables
2.1 Data
2.2 Definition of Key Variables
2.3 Summary Statistics
3. Investor Attention and the Risk-Return Trade-off
3.1 Univariate Portfolios Sorted on Risk Measures
3.2 Bivariate Portfolios Sorted on Investor Attention and Risk Measures
3.3 Fama–MacBeth Regressions
4. Investor Attention and the Risk-Return Trade-off, Classified by Type of Investor
4.1 Individual Investor
4.2 Institutional Investor
5. Robustness Checks
5.1 Equal-Weighted Average and Sequential Double Sorts
5.2 Fama–MacBeth Regressions for Robustness Checks
6. Conclusion
Reference

키워드

저자

• Eun Jung Lee [ Professor of Finance. College of Business Management and Economics, Hanyang University, Ansan, Korea ]

참고문헌

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간행물

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330