Recent studies have proposed a large set of powerful anomaly-based factors in the stock market.This study examines the role of investor inattention in the corresponding anomalies underlying these factors and other underreaction-related anomalies. Using media coverage as a proxy for investor...

Exploiting a screen display feature whereby the order of stock display is determined by the stock listing codes, we lever a novel identification strategy and study the impact of attention spillover on stock prices and turnover. We find that stocks with neighbors on the display that experience...