13Fs: Investor Recognition and Stock Returns

Investor Recognition and Stock Returns by Wesley R. Gray, Ph.D., Alpha Architect, , Author, Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors

• Reuven Lehavy and Richard G. Sloan
• The Review of Accounting Studies, Vol. 13,  2008.
• An older version of the paper can be found here.

Abstract:

“We analyze the relation between investor recognition and stock returns. Consistent with Merton’s (1987) theoretical analysis, we show that (i) contemporaneous stock returns are positively related to changes in investor recognition, (ii) future stock returns are negatively related to changes in investor recognition, (iii) the above relations are stronger for stocks with greater idiosyncratic risk and (iv) corporate investment and financing...

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