Retail Investor Sentiment and Return Comovements

By Alok Kumar, Charles M. C. Lee. 2006

1,400 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2344df188f8097b65b33ecc76851689a10b24261

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Citations in the corpus

Can investor sentiment be a momentum time-series predictor? Evidence from China (2017, background): “They hold less diversified portfolios, have more incentives to trade speculative stocks, and engage in unsophisticated trading strategies such as trend following or correlated trading (Feng & Seasholes 2004; Kumar & Lee 2006).”
Small Trades and the Cross-Section of Stock Returns (2008, neutral): “12 It is worth noting that because both the low and high sstt portfolios have high levels of small-trade turnover, and therefore are likely to have a high degree of retail investor participation, the results are consistent with the hypothesis that excess comovements exist among stocks with high reta”
The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment (2017, background): “In addition, considering the investor sentiment is not only influenced by cognitive psychological factors, but also affected by macroeconomic factors [48,50].”
Commonality in Liquidity: A Demand-Side Explanation (2016, positive): “Pirinsky and Wang (2004) and Kumar and Lee (2006) find that correlated trading among institutional and retail investors, respectively, gives rise to return comovement.10 The remainder of this paper is organized as follows.”
Individual Investors and Local Bias (2010, neutral): “…Odean (2000, 2001, 2002); Barber, Odean, and Zhu (2009); Dhar and Zhu (2006); Goetzmann and Kumar (2008); Graham and Kumar (2006); Ivkovic, Poterba, and Weisbenner (2005); Ivkovic and Weisbenner (2005); Kumar (2004, 2008a, 2008b); Kumar and Lee (2006); Kumar and Lim (2008); and Odean (1998, 1999).”
Behavioral Biases of Mutual Fund Investors (2011, positive): “Following Odean (1999) and Kumar and Lee (2006), we calculate the subsequent k-month returns following each buy trade averaged over the trading history of an individual and subtract the subsequent k-month returns following each sell trade averaged over the trading history.”
Individual Investor Trading and Stock Returns (2008, background): “Since some papers (e.g., Lee, Shleifer, and Thaler (1991) and Kumar and Lee (2005)) claim that “noise” trading of individuals is potentially stronger in small stocks, we sort the sample into ten deciles according to each stock’s average market 25 capitalization over the sample period.44 Panel B of…”
Ownership of Corporations (2016, background): “Some preliminary work (Kumar & Lee, 2006) has found that retail investors’ trades are systematically correlated and can in turn have a substantial effect on the stock performance of companies, supporting anecdotal examples.”
Nominal price illusion (2016, background): “For example, Gompers and Metrick (2001), Dyl and Elliot (2006), Kumar and Lee (2006), and Kumar (2009) provide evidence suggesting that individuals hold lower-priced stocks than institutions.”