Industry-Based Style Investing

35 Pages Posted: 27 Jun 2013 Last revised: 16 Nov 2017

See all articles by Russell Jame

Russell Jame

University of Kentucky - Gatton College of Business and Economics

Qing Tong

School of Business, Renmin University of China

Date Written: August 1, 2013

Abstract

Motivated by the style-investing model of Barberis and Shleifer (2003), we examine the industry-wide investment decisions of retail investors. We find that retail investor industry demand is highly correlated and strongly related to past industry returns. Moreover, industries heavily bought by retail investors over the past year significantly underperform industries heavily sold over the subsequent year. Similarly, stocks in industries heavily bought by retail investors underperform stocks in industries heavily sold, even after controlling for firm-level demand. Our results suggests that industry-wide categorization influences the investment decisions of retail investors and has a significant impact on asset prices.

Keywords: Retail Investors, Style Investing, Industry, Asset Pricing

JEL Classification: G10, G12

Suggested Citation

Jame, Russell and Tong, Qing, Industry-Based Style Investing (August 1, 2013). Journal of Financial Markets, Vol. 19, 2014.. Available at SSRN: https://ssrn.com/abstract=2285325 or http://dx.doi.org/10.2139/ssrn.2285325

Russell Jame (Contact Author)

University of Kentucky - Gatton College of Business and Economics ( email )

550 South Limestone
Lexington, KY 40506
United States

HOME PAGE: http://russelljame.com

Qing Tong

School of Business, Renmin University of China ( email )

Beijing
China

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