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​Retail Investors and the Cross-Section of Stock Returns

Date/Time: 30-Nov-2018 1030hrs - 1200hrs
Venue: Executive Seminar Room 5 (S3.1-B1-07)
Contact Information:

​Date: Friday, 30 November 2018
Time: 10.30 am – 12.00 pm
Venue: Executive Seminar Room 5 (S3.1-B1-07)

Chairperson: Assoc Prof Xin CHANG, Simba
We estimate long-horizon changes in retail investors’ portfolio weights by accumulating trades over periods ranging from 1-month to 3-years, and scaling these amounts by shares outstanding. Using these measures, we report several novel findings. First, retail investors may contribute to anomaly mispricing, as they accumulate shares in stocks that eventually become anomaly-shorts and reduce holdings in stocks that become anomaly-longs. Second, retail investors trade in the wrong direction with respect to anomaly strategies, as they buy stocks that are currently anomaly-shorts, and sell stocks that are currently anomaly-longs. Finally, increases in retail portfolio weights are associated with lower future stocks returns. Taken in their entirety, the results suggest that when evaluated based on accumulative trading metrics, retail investor underperform and create profitable trading opportunities for other investors.  

About the Speaker
David McLean is Associate Professor of Finance and Anderson Faculty Fellow at the McDonough School of Business at Georgetown University. David’s research focuses on capital market imperfections and their ramifications for both asset prices and corporate finance. His papers have been published in leading finance journals such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. His research has won several awards, including the Amundi Smith Breeden Award for the best paper in Journal of Finance, the Jensen Prize for the best paper in the Journal of Financial Economics, and the Q-Group’s Roger Murray Prize for quantitative research in finance. He serves on the editorial boards of several academic journals, including Management Science.
David received his PhD from Boston College and holds the Chartered Financial Analyst (CFA) designation. Before joining Georgetown he was the Keeley Chair in Investment Management at DePaul University and the Kipnes Chair in Finance and Development at the University of Alberta. He has held visiting positions at MIT and the Development Bank of Japan. 

For registration, further information and enquiries, please contact Florence at or telephone: 67906354.

Published on: 21-Nov-2018

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