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...

If information is not perfect, theories prescribe a negative relation between information availability and expected stock returns. Using two readily available variables, price and volume, I construct a new proxy for information and test its relation to returns in the 1964-2007 period on...