A Robust Measure of Investor Contrarian Behaviour.
Authors
Publication date
- CHALLET Damien
- MORTON DE LACHAPELLE David
2013
Publication type
Book Chapter
Summary
Using the transaction history of all the clients of an on-line broker, we analyse the daily aggregated investment fluxes of individual investors, companies, and asset managers. Computing the probability that price returns and daily investment fluxes have the same sign provides a robust characterisation of contrarian behaviour. The three categories are found to be contrarian, but with widely different intensities. Individual investors are by far the most contrarian of the three, followed by companies. Asset managers are only mildly contrarian with respect positive price returns.
Publisher
Springer Milan
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