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Industry-based style investing

Listed author(s):
  • Jame, Russell
  • Tong, Qing
Registered author(s):

    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1386418113000499
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    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 19 (2014)
    Issue (Month): C ()
    Pages: 110-130

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    Handle: RePEc:eee:finmar:v:19:y:2014:i:c:p:110-130
    DOI: 10.1016/j.finmar.2013.08.004
    Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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