September 11 and Stock Return Expectations of Individual Investors*
نویسندگان
چکیده
منابع مشابه
Institutional Investors and Stock Return Anomalies
We examine institutional investor demand for stocks that are categorized as mispriced according to twelve well-known pricing anomalies. We find that institutional demand prior to anomaly portfolio formation is typically on the wrong side of the anomalies’ implied mispricing. That is, we find increases in institutional ownership for overvalued stocks and decreases in institutional ownership for ...
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The behavioral financial perspective shows some changes in the price of securities have no fundamental reason and depend on the irrational behaviors of investors as measured by the investor sentiment. Investor sentiment plays an important role in the volatility of securities prices and returns. At first, by finding the thresholds and testing these points statistically, we showed that the invest...
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An “average investor” is an investor who has “average risk aversion”, “average expectations” on the market returns and should invest in the “market portfolio” (this is, according to the Capital Asset Pricing Model, the best possible portfolio for such an investor). He is compared with a “non-average investor”. This—in our setting—is an investor who has the same “average risk aversion” but inves...
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Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this paper, we investigate the relation between what stocks investors hold, and what stocks they buy, and show that investors with similar portfolio structures to...
متن کاملDo the diversification choices of individual investors influence stock returns ? $
This paper shows that the diversification choices of individual investors influence stock returns. A zero-cost portfolio that takes a long (short) position in stocks with the least (most) diversified individual investor clientele generates an annual, risk-adjusted return of 5–9%. This spread reflects the combined effects of sentiment-induced mispricing, narrow risk framing, and asymmetric infor...
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ژورنال
عنوان ژورنال: Review of Finance
سال: 2005
ISSN: 1573-692X,1572-3097
DOI: 10.1007/s10679-005-7592-4