Kewei Hou, Roger K. Loh, Lin Peng, Wei Xiong
Management Science, forthcoming. Manuscript: August 11, 2026.
Kewei Hou, Roger K. Loh, Lin Peng, Wei Xiong. A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum. Management Science, forthcoming. 2026.
IN ONE SENTENCE:
Investor attention is associated with stronger price momentum but weaker earnings momentum, suggesting that attention can both amplify biases and reduce neglect of news.
Abstract:
We study how investor attention affects two well-known stock market anomalies: price momentum and earnings momentum. Using a comprehensive set of investor attention measures, we find a striking contrast. Stocks that attract more attention show stronger price momentum but weaker earnings momentum. This suggests attention plays two opposing roles: when investors pay less attention and ignore earnings news, stock prices underreact, leading to stronger earnings momentum; but when attention is high, behavioral biases intensify and fuel overreaction-driven price momentum. We also find that different types of attention—from institutions versus retail investors, and active versus passive attention—have distinct effects.
Other Links/Materials:
Keywords:
Investor attention · Price momentum · Earnings momentum · Overreaction · Limited attention · Earnings news · Underreaction · Behavioural biases · Institutional investors · Retail investors