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Article: Skewness, Individual Investor Preference, and the Cross-section of Stock Returns

TitleSkewness, Individual Investor Preference, and the Cross-section of Stock Returns
Authors
Issue Date2017
PublisherOxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/
Citation
Review of Finance, 2017, v. 22 n. 5, p. 1841-1876 How to Cite?
AbstractWe find a robust negative relation between skewness/lottery-like features, proxied by maximum return (MAX) over the last month, and future returns for stocks preferred by individual investors. This negative relation is nonexistent for the rest of stocks. We identify stocks preferred by individual investors through bundling ten stock characteristics associated with their stock preferences. The negative relation between MAX and future return is produced by the stocks preferred by individuals that account for less than 5% of the overall market capitalization. Our results are robust to alternative definitions of MAX and lottery-like features such as total, idiosyncratic, and expected skewness.
Persistent Identifierhttp://hdl.handle.net/10722/243214
ISSN
2017 Impact Factor: 2.023
2015 SCImago Journal Rankings: 3.505
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorLin, TC-
dc.contributor.authorLiu, X-
dc.date.accessioned2017-08-25T02:51:44Z-
dc.date.available2017-08-25T02:51:44Z-
dc.date.issued2017-
dc.identifier.citationReview of Finance, 2017, v. 22 n. 5, p. 1841-1876-
dc.identifier.issn1572-3097-
dc.identifier.urihttp://hdl.handle.net/10722/243214-
dc.description.abstractWe find a robust negative relation between skewness/lottery-like features, proxied by maximum return (MAX) over the last month, and future returns for stocks preferred by individual investors. This negative relation is nonexistent for the rest of stocks. We identify stocks preferred by individual investors through bundling ten stock characteristics associated with their stock preferences. The negative relation between MAX and future return is produced by the stocks preferred by individuals that account for less than 5% of the overall market capitalization. Our results are robust to alternative definitions of MAX and lottery-like features such as total, idiosyncratic, and expected skewness.-
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/-
dc.relation.ispartofReview of Finance-
dc.rightsPre-print: Journal Title] ©: [year] [owner as specified on the article] Published by Oxford University Press [on behalf of xxxxxx]. All rights reserved. Pre-print (Once an article is published, preprint notice should be amended to): This is an electronic version of an article published in [include the complete citation information for the final version of the Article as published in the print edition of the Journal.] Post-print: This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here].-
dc.titleSkewness, Individual Investor Preference, and the Cross-section of Stock Returns-
dc.typeArticle-
dc.identifier.emailLin, TC: chunlin@hku.hk-
dc.identifier.authorityLin, TC=rp01077-
dc.description.naturepostprint-
dc.identifier.doi10.1093/rof/rfx036-
dc.identifier.hkuros274166-
dc.identifier.volume22-
dc.identifier.issue5-
dc.identifier.spage1841-
dc.identifier.epage1876-
dc.identifier.isiWOS:000456672800007-
dc.publisher.placeUnited Kingdom-

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