One area of increasing research is the attention that is given to a specific market. Investors cannot follow everything, so there are different levels of attention. Given changing attention, there should be different levels of efficiency. What is found in the paper, "A Tale of Two Anomolies: The implications of investor attention for price and earnings momentum," is very interesting. Stocks that show more attention show greater price momentum and weaker earnings momentum. The authors make the following claim: investors pay less attention to earnings news. stock price underreacts, leading to stronger earnings momentum, but when attention is high, behavioral biases intensify, which fuels overreaction and price momentum. Depending on the type of attention, the effects will vary.
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