We examine the relation between investor attention and financial market anomalies. We find that anomaly returns are higher following high-attention days. The result is robust after controlling for risk factors, the effect of news, and in a natural experiment setting in which the rounding of...

Using direct investor attention proxies, we show that constrained investors follow a pecking order in allocating attention. While retail investors are attentive to both macroeconomic news and individual firms' earnings announcements, macroeconomic news crowds out attention to earnings by 28.8%....