Behavioral bubble models typically assume that uninformed trend-chasers, presumably individual investors, cause bubbles, while informed contrarian investors such as institutions trade against bubbles. DeLong et al. (1990a) highlight that to be considered a 'bubble', the mis-pricing must prevail...

We develop two investment strategy measures by investor type and explore their predictive capability on idiosyncratic volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently implements a “positive-feedback” or a...