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Cited by 1,488

The DOI matches its Crossref record; 6 of the 6 references it cites were found in a registry or an index.

Retail Investor Sentiment and Return Comovements

Open access
KUMAR, ALOK, LEE, CHARLES M.C.·2006·The Journal of Finance
DOI 10.1111/j.1540-6261.2006.01063.x
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Abstract

Using a database of more than 1.85 million retail investor transactions over 1991–1996, we show that these trades are systematically correlated—that is, individuals buy (or sell) stocks in concert. Moreover, consistent with noise trader models, we find that systematic retail trading explains return comovements for stocks with high retail concentration (i.e., small‐cap, value, lower institutional ownership, and lower‐priced stocks), especially if these stocks are also costly to arbitrage. Macroeconomic news and analyst earnings forecast revisions do not explain these results. Collectively, our findings support a role for investor sentiment in the formation of returns.

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Metadata

Authors
KUMAR, A., & LEE, C. M. C.
Venue
The Journal of Finance
Publisher
Wiley
Published
2006-09-19
Volume
61
Issue
5
Pages
2451-2486
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2006.01063.x
OpenAlex
W3122776771
Cited by
1,488
References
6
FWCI
49.39
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Retail Investor Sentiment and Return Comovements. https://app.cochat.ai/papers/10.1111/j.1540-6261.2006.01063.x
The paper
KUMAR, A., & LEE, C. M. C. (2006). Retail Investor Sentiment and Return Comovements. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2006.01063.x

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.