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SUMMARY:Retail Investors’ Contrarian Behavior Around News\, Attention\, 
 and the Momentum Effect.
DTSTART:20220617T103000
DTEND:20220617T120000
DTSTAMP:20260916T084354Z
UID:badfd00c22c20fb5c9c4aac323ae2e364f186127483a5cd4ce00b963
CATEGORIES:Conferences - Seminars
DESCRIPTION:Enrichetta Ravina\, Federal Reserve Bank of Chicago\nUsing a 
 large panel of U.S. brokerage accounts trades and positions\, we show that
  a large fraction of retail investors trade as contrarians after large ear
 nings surprises\, especially for loser stocks\, and that such contrarian t
 rading contributes to post earnings announcement drift (PEAD) and price mo
 mentum. Indeed\, when we double-sort by momentum portfolios and retail tra
 ding flows\, PEAD and momentum are only present in the top two quintiles o
 f retail trading intensity. Finer sorts confirm the results\, as do sorts 
 by firm size and institutional ownership level. We show that the investors
  in our sample are representative of the\nuniverse of U.S. retail traders\
 , and that the magnitude of the phenomena we describe indicate a quantitiv
 ely substantial role of retail investors in generating momentum. Alternati
 ve hypotheses\, such as the disposition effect and stale limit orders\, do
  not explain retail contrarian trading. Younger traders are more likely to
  be contrarian\, and a firm’s dividend yield\, leverage\, size\, book to
  market\, and analyst coverage are associated with the fraction of contrar
 ian trades they face around earnings announcements. Attentive investors ar
 e more likely to be contrarians.\n 
LOCATION:UniL Campus\, Extra 126
STATUS:CONFIRMED
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