Departmental Bulletin Paper "Attention"と株式評価

岡田, 克彦  ,  OKADA, Katsuhiko

62 ( 4 )  , pp.107 - 117 , 2015-03-25 , 名古屋大学大学院経済学研究科
ISSN:0022-9725
Description
Proponents of "Efficient Market Theory" assert that the financial market is efficient because investors are unable to form investment strategies that generate abnormal return for a sustainable period. We propose investment strategies using "limited attention" which could potentially generate abnormal return. Our evidence suggests that stocks with less attention by professional traders tend to be mispriced in the Japanese stock market; Investors exploiting "Attention" information will be able to selectively invest in stocks that are undervalued.
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