재무연구 제 권 호 (2017년 5월)
Asian Review of Financial Research, Vol., No..
pp.1451~1489
pp.1451~1489
Market Timing and Selectivity in Feedback Trading : Retail vs. Institutional Funds
Miyoun Paek Carl H. Lindner College of Business, University of Cincinnati, Cincinnati, OH, USA
Yong H. Kim Carl H. Lindner College of Business, University of Cincinnati, Cincinnati, OH, USA
Kwangsoo Ko College of Business, Pusan National University
This study compares the differences in equity fund investment between retail and institutional investors by developing a new empirical feedback model. First, we find that retail investors engage in positive feedback trading for market timing and selectivity. Second, positive feedback trading for market timing of retail investors is due to sell-side trades. Positive feedback trading for selectivity is generated by a combined effect of both sell- and buy-side trades. Third, there is limited evidence of overconfidence in equity mutual funds. Fourth, we fail to find any indirect evidence of disposition effect from both investors. Finally, attribution bias affects positive feedback trading of retail investors, and they apply feedback trading for market timing and selectivity according to market conditions.
Miyoun Paek
Yong H. Kim
Kwangsoo Ko
This study compares the differences in equity fund investment between retail and institutional investors by developing a new empirical feedback model. First, we find that retail investors engage in positive feedback trading for market timing and selectivity. Second, positive feedback trading for market timing of retail investors is due to sell-side trades. Positive feedback trading for selectivity is generated by a combined effect of both sell- and buy-side trades. Third, there is limited evidence of overconfidence in equity mutual funds. Fourth, we fail to find any indirect evidence of disposition effect from both investors. Finally, attribution bias affects positive feedback trading of retail investors, and they apply feedback trading for market timing and selectivity according to market conditions.
