Publication Type
Journal Article
Version
acceptedVersion
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
Citation
JAME, Russell and TONG, Qing.
Industry-based style investing. (2014). Journal of Financial Markets. 19, 110-130.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/2957
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.finmar.2013.08.004