We offer a new anchoring explanation for the ex-day abnormal returns of stock distributions including stock dividend distributions, splits, and reverse splits. We propose that investors tend to anchor on cum-day prices in valuating ex-distribution stocks, resulting in a positive association...

Return R2 is the statistic obtained by regressing individual stock returns on return factors. We find that stocks with lower R2 are more difficult to value, tend to be affected by investor sentiment, attract retail investors, and are avoided by institutional investors. We examine the relation...