Investor Inattention and Market Anomalies: How Media Coverage Drives Mispricing
Taking advantage of limited attention in anomaly trading: The average Sharpe ratio documented in the paper is 1.09 (min: 0.62 ROE, max: 4.45 MOM). Top anomalies: MOM (4.45), ROA (2.40), PEAD (1.60), PERF (1.68)—all stronger in low media coverage stocks.