Using a large panel of U.S. accounts trades and positions, we show that retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and such contrarian trading contributes to post earnings announcement drift (PEAD) and momentum. Indeed, when we double-sort...

We find that money managers could reduce portfolio risk by incorporating Environmental, Social, and Governance (ESG) criteria into their investment process. ESG-related issues can cause sudden regulatory changes and shifts in consumer tastes, resulting in large asset price swings which leave...

The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar...

Retail investors trade hard-to-value stocks. Controlling for size, stocks with a high share of retail-initiated trades are composed of more intangible capital, have longer duration cash-flows and a higher likelihood of being mispriced. Consistent with retail-heavy stocks being harder to value,...

We estimate that passive investors held 37.8% of the US stock market in 2020. This value comes from studying the closing volumes of index additions and deletions on reconstitution day. 37.8% is more than double the widely accepted previous estimate of 15%, which reflects index-fund holdings but...

Using 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 earnings surprises, especially for loser stocks, and that such contrarian trading contributes to post earnings announcement drift (PEAD) and...