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Article: Skewness, Individual Investor Preference, and the Cross-section of Stock Returns
Title | Skewness, Individual Investor Preference, and the Cross-section of Stock Returns |
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Authors | |
Issue Date | 2018 |
Publisher | Oxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/ |
Citation | Review of Finance, 2018, v. 22 n. 5, p. 1841-1876 How to Cite? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/243214 |
ISSN | 2023 Impact Factor: 5.6 2023 SCImago Journal Rankings: 7.769 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lin, TC | - |
dc.contributor.author | Liu, X | - |
dc.date.accessioned | 2017-08-25T02:51:44Z | - |
dc.date.available | 2017-08-25T02:51:44Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Review of Finance, 2018, v. 22 n. 5, p. 1841-1876 | - |
dc.identifier.issn | 1572-3097 | - |
dc.identifier.uri | http://hdl.handle.net/10722/243214 | - |
dc.description.abstract | We 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.language | eng | - |
dc.publisher | Oxford University Press. The Journal's web site is located at http://rof.oxfordjournals.org/ | - |
dc.relation.ispartof | Review of Finance | - |
dc.rights | This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The definitive publisher-authenticated version Review of Finance, 2018, v. 22 n. 5, p. 1841-1876 is available online at: https://doi.org/10.1093/rof/rfx036 | - |
dc.title | Skewness, Individual Investor Preference, and the Cross-section of Stock Returns | - |
dc.type | Article | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1093/rof/rfx036 | - |
dc.identifier.hkuros | 274166 | - |
dc.identifier.volume | 22 | - |
dc.identifier.issue | 5 | - |
dc.identifier.spage | 1841 | - |
dc.identifier.epage | 1876 | - |
dc.identifier.isi | WOS:000456672800007 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 1572-3097 | - |