{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,16]],"date-time":"2026-10-16T06:45:46Z","timestamp":1792133146905,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We develop a cognitive asset valuation framework grounded in associative memory and perceptual salience. In our model, contemporaneous return shocks act as cues that selectively recall similar past experiences to anchor an endogenous memory norm, while bounded attention adjusts toward perceptual surprises relative to this benchmark. Historical return dispersion serves as a cognitive filter. The resulting metric, Decision Value (DV), distorts prices and negatively predicts cross-sectional equity returns. In the US equity market, a long-short portfolio sorted on DV generates a monthly return spread of1.857% (t=13.36), yielding multi-factor alphas in excess of 1.729% that remain robust to standard characteristic controls, including short-term reversal, salience, and prospect theory. Decomposing DV confirms that neither the memory norm nor salience alone drives the result; predictability requires their synthesis. The return premium is concentrated during intraday trading, amplified by unrealized capital losses, and strongest among retail-dominated, arbitrage-constrained securities. Internationally, the effect persists across developed markets but attenuates in emerging markets due to structural non-stationarity.<\/jats:p>","DOI":"10.2139\/ssrn.7613338","type":"posted-content","created":{"date-parts":[[2026,10,16]],"date-time":"2026-10-16T06:01:13Z","timestamp":1792130473000},"source":"Crossref","is-referenced-by-count":0,"title":["Investor Memory-Distorted Valuation and Stock Returns"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0001-8511-5485","authenticated-orcid":true,"given":"Yakun","family":"Liu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Lei","family":"Zhang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,16]],"date-time":"2026-10-16T06:01:13Z","timestamp":1792130473000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7613338"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7613338","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}