We construct a measure of abnormal relative attention (ARA), reflecting unusual changes in attention paid to a stock by local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher returns in the short term. This predictive power is...

Entries and exits are often triggered by substantive private information, and we propose PC_NII, the percentage change in the number of a stock's institutional investors, as a measure of informed trading. Over the 1982 to 2010 period, the top PC_NII decile outperforms the bottom PC_NII decile by...