Working Paper
Cheng (Patrick) Luo, Enrichetta Ravina, Marco Sammon, and Luis M. Viceira. Working Paper. “Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect”.Abstract

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 price momentum. Indeed, when we double-sort by momentum portfolios and retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts confirm the results, as do sorts by firm size and institutional ownership level. We show that the investors in our sample are representative of the universe of U.S. retail traders, and that the magnitude of the phenomena we describe indicate a quantitively substantial role of retail investors in generating momentum. Alternative hypotheses, such as the disposition effect and stale limit orders, do not explain retail contrarian trading. Younger traders are more likely to be contrarian, and a firm’s dividend yield, leverage, size, book to market, and analyst coverage are associated with the fraction of contrarian trades they face around earnings announcements. Attentive investors are more likely to be contrarians.

Luis Viceira and Zixuan (Kevin) Wang. 2016. “Global Portfolio Diversification for Long-Horizon Investors”. PDF Appendix
Yeung Lewis Chan and Luis Viceira. 2000. “Asset Allocation with Endogenous Labor Income: The Case of Incomplete Markets”. PDF
Luis Viceira. 1996. “Testing for Structural Change in the Predictability of Asset Returns”. PDF
John Campbell, Adi Sunderam, and Luis Viceire. 2016. “Appendix to "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds"”. PDF
Luis Viceira and Kevin Wang. 2016. “Appendix to "Global Diversification for Long-Horizon Investors"”. Appendix
John Campbell, Carolin Pflueger, and Luis Viceira. 2012. “Appendix to "Macroeconomic Drivers of Bond and Equity Risks"”. PDF (This Version: May 2019)
John Campbell and Luis Viceira. 2005. “Long-Horizon Mean-Variance Analysis: A User Guide, Appendix for "The Term Structure of the Risk-Return Tradeoff".” Financial Analysts Journal. PDF
John Campbell, Yeung Lewis Chan, and Luis Viceira. 2001. “Appendix to "A Multivariate Model of Strategic Asset Allocation"”. PDF
John Campbell and Luis Viceira. 2000. “Consumption and Portfolio Decisions When Expected Returns are Time Varying: Erratum”.Abstract
This note corrects an error in the paper of the same name published in Quarterly Journal of Economics, May 1999
John Campbell and Luis Viceira. 1999. “Appendix to "Who Should Buy Long-Term Bonds?"”. PDF
Journal Article
John Y. Campbell, Carolin Pfueger, and Luis Viceira. Forthcoming. “Macroeconomic Drivers of Bond and Equity Risks.” Journal of Political Economy, 128, 8. Publisher's VersionAbstract
Winner of the first Arthur Warga Award for the Best Paper in Fixed Income, The Society for Financial Studies, 2014 Finance Cavalcade.
PDF Appendix
John Y. Campbell, Adi Sunderam, and Luis Viceira. 2017. “Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds.” Critical Finance Review, 6, 2, Pp. 263-301. PDF Appendix
Luis Viceira. 2012. “Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates.” International Journal of Forecasting, 28, Pp. 97-117. PDF
Francisco Gomes, Laurence Kotlikoff, and Luis Viceira. 2012. “The Excess Burden of Government Indecision.” NBER Book Series Tax Policy and the Economy, 26, Pp. 125-163. PDF
Jakub Jurek and Luis Viceira. 2011. “Optimal Value and Growth Tilts in Long-Horizon Portfolios.” Review of Finance, 15, 1, Pp. 29-74. PDF
Carolin Pflueger and Luis Viceira. 2011. “Inflation-Indexed Bonds and the Expectations Hypothesis.” Annual Review of Financial Economics, 3, Pp. 139-158. PDF
John Campbell, Karine Serfaty-de Medeiros, and Luis Viceira. 2010. “Global Currency Hedging.” Journal of Finance, 65, 1. PDF
Ricardo Gimeno and Luis Viceira. 2010. “The Euro as a Reserve Currency for Global Investors.” Spain and the Euro. The First Ten Years. PDF
John Campbell, Robert Shiller, and Luis Viceira. 2009. “Understanding Inflation-Indexed Bond Markets.” Brookings Papers on Economic Activity, Pp. 79-120. PDF Appendix