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Investor Attention and Stock Mispricing

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  • Justin Y. Jin

Abstract

This study examines the relation between investor attention and stock mispricing of accruals in U.S. firms using the Limited Investor Attention Model of Hirshleifer and Teoh (). Consistent with the model's hypothesis that investor attention reduces stock mispricing of accruals, I document three key findings. First, I find a significant and negative correlation between stock mispricing of accruals and analyst following. Second, stock mispricing of accruals is negatively correlated with institutional ownership and, in particular, with the ownership of bank trusts and the ownership of pensions and endowments. Third, stock mispricing of accruals is negatively correlated with Big 4 auditor choice. Résumé À l'aide du modèle d'attention limitée des investisseurs proposé par Hirshleifer et Teoh (2003), l'auteur se penche sur la relation entre l'attention des investisseurs et les erreurs d'évaluation relatives aux ajustements se reflétant dans les cours des sociétés américaines. Conformément à l'hypothèse du modèle selon laquelle l'attention des investisseurs réduit les erreurs d'évaluation des ajustements se reflétant dans les cours, les données recueillies par l'auteur débouchent sur trois observations. Premièrement, il existe une corrélation négative significative entre l'erreur d'évaluation des ajustements se reflétant dans les cours et le suivi des analystes. Deuxièmement, l'erreur d'évaluation des ajustements se reflétant dans les cours affiche une corrélation négative avec la propriété institutionnelle et, plus particulièrement, avec la propriété des fiducies bancaires ainsi que des caisses de retraite et des fonds de dotation. Troisièmement, l'erreur d'évaluation des ajustements se reflétant dans les cours est en corrélation négative avec le choix d'un cabinet appartenant aux Quatre Grands.

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  • Justin Y. Jin, 2014. "Investor Attention and Stock Mispricing," Accounting Perspectives, John Wiley & Sons, vol. 13(2), pages 123-147, June.
    • Handle: RePEc:wly:accper:v:13:y:2014:i:2:p:123-147
    DOI: 10.1111/1911-3838.12026
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