Publication Type

Journal Article

Publication Date

6-2014

Abstract

Motivated by the style investing model of Barberis and Shleifer (2003), we examine the industry-wide investment decisions of retail investors. We find that retail investor industry demand is highly correlated and strongly related to past industry returns. Moreover, industries heavily bought by retail investors over the past year significantly underperform industries heavily sold over the subsequent year. Similarly, stocks in industries heavily bought by retail investors underperform stocks in industries heavily sold, even after controlling for firm-level demand. Our results suggest that industry-wide categorization influences the investment decisions of retail investors and has a significant impact on asset prices.

Keywords

Retail investors, Trading, Industry, Style investing, Asset pricing

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Journal of Financial Markets

Volume

19

First Page

110

Last Page

130

ISSN

1386-4181

Identifier

10.1016/j.finmar.2013.08.004

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1016/j.finmar.2013.08.004

Comments

Working paper on SSRN removed http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1468952. Still available at http://russelljame.com/Ind_Herding_4_2010.pdf

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