Missing Momentum in China : Considering Individual Investor Preference

We explore the missing momentum effect in the Chinese stock market from the perspective ofindividual investor preference. Creating a comprehensive individual investor preference index toinvestigate the missing momentum effect, we find that the momentum effect diminishes towardabsence in Chinese-market stocks with particularly high-levels of individual investor preference.In contrast, momentum manifests with decreases in individual investor preference. Contributingto the literature, we provide a new explanation of the missing momentum effect