The DOI matches its Crossref record; 7 of the 7 references it cites were found in a registry or an index.
Salience theory and stock prices: Empirical evidence
Open accessAbstract
Abstract We present evidence on the asset pricing implications of salience theory. In our model, investors overweight salient past returns when forming expectations about future returns. Consequently, investors are attracted to stocks with salient upsides, which are overvalued and earn low subsequent returns. Conversely, stocks with salient downsides are undervalued and yield high future returns. We find empirical support for these predictions in the cross section of US stocks. The salience effect is stronger among stocks with greater limits to arbitrage and during high-sentiment periods. Our results are not explained by common risk factors, return reversals, lottery demand, and attention-grabbing news events.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Prospect Theory: An Analysis of Decision under Risk
Kahneman, D., & Tversky, A. (1979) · Econometrica · doi:10.2307/1914185 · Cited by 48,524
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Advances in prospect theory: Cumulative representation of uncertainty
Tversky, A., & Kahneman, D. (1992) · Journal of Risk and Uncertainty · doi:10.1007/bf00122574 · Cited by 15,467
A five-factor asset pricing model
Fama, E. F., & French, K. R. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.10.010 · Cited by 7,852
Maps of Bounded Rationality: Psychology for Behavioral Economics
Kahneman, D. (2003) · American Economic Review · doi:10.1257/000282803322655392 · Cited by 5,377
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Cited by
Umar, M., Riaz, Y., & Yousaf, I. (2022) · Resources Policy · doi:10.1016/j.resourpol.2022.102966 · Cited by 334
Non-standard errors in the cryptocurrency world
Fieberg, C., Günther, S., Poddig, T., & Zaremba, A. (2024) · International Review of Financial Analysis · doi:10.1016/j.irfa.2024.103106 · Cited by 21
Metadata
- Authors
- Cosemans, M., & Frehen, R.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2021-05
- Volume
- 140
- Issue
- 2
- Pages
- 460-483
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2589111683
- Cited by
- 230
- References
- 7
- FWCI
- 22.24
- Type
- journal article
- Language
- en
- Open access
- bronze
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Salience theory and stock prices: Empirical evidence. https://app.cochat.ai/papers/10.1016/j.jfineco.2020.12.012
- The paper
- Cosemans, M., & Frehen, R. (2021). Salience theory and stock prices: Empirical evidence. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2020.12.012
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
