The arrival of new information, in conjunction with investor cognitive biases, has commonly been acknowledged as main causes of herding behavior. However, whether past market information embedded in market memory has influence on investors’ herding is less explored. This study utilizes...

The arrival of new information, in conjunction with investor cognitive biases, has commonly been acknowledged as the main cause of herding behavior. However, whether past market information embedded in market memory influences investors’ herding has been less explored. We utilize tick-level,...

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...