This study examines the hypothesis that closed-end fund shareholders garner greater returns than holders of the underlying assets as compensation for bearing quot;noise trader risk.quot; We demonstrate that fund share returns are more volatile and exhibit greater mean reversion than the returns...

This study examines serial correlation in daily portfolio returns for securities held primarily by individual investors versus securities held primarily by institutional investors. The results implicate institutional investors as the primary source of positive serial correlation in portfolio...

This study evaluates the tax-loss-selling hypothesis against the window-dressing hypothesis as explanations for the turn-of-the-year return anomalies. We examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the...

Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross-sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors' demand shocks. We...

Molecular genetic endowments related to cognition, personality, health, and body shape, established at least half a century prior, predict an individual's risk aversion, beliefs regarding the distribution of expected equity returns, and equity market participation. We estimate that approximately...