We find that when volume is relatively low, trading volume is primarily driven by attention rather than disagreement. An increase in volume, reflecting heightened attention, can mitigate mispricing stemming from limited attention. In contrast, when volume is relatively high, we find a stronger...

We show that valuation uncertainty and information arrival are two key characteristics of factors that determine whether they are affected by sentiment or limited attention. Moreover, individual factors of the leading factor models do not have significant loadings on these two characteristics...