Retail Investor Sentiment And Return Comovements  

Oleh:

Kumar, Alok ; Lee, Charles M.C.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2451-2486.
Topik: investors; studies; correlation analysis; securities trading volume; rates of return; impact analysis; macroeconomics; investment policy
Fulltext: p 2451.pdf (287.77KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Using a database of more than 1,85 million retail investor transactions over 1991 - 1996, we show that these trades are systematically correlated, that is individuals buy (or sell) stocks in concert. Moreover consistent with noide trader models, we find that systematic retail trading explains return comovements for stocks with high retail concentration (i.e. small cap, value, lower institutional ownership, and lower priced stocks), especially if these stocks are also costly to arbitrage. Macroeconomic news and analyst earnings forecast revisions do not explain these results. Collectively, our findings support a role for investor sentiment in the formation to returns.

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