@workingpaper {690631,
	title = {New version (April 18, 2024): Retail Investors{\textquoteright} Contrarian Behavior Around News, Attention, and the Momentum Effect},
	year = {Working Paper},
	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 price underreaction. Our findings are consistent with investors{\textquoteright} belief in the Law of Small Numbers (LSN), or the tendency of individuals to mistakenly infer too much from small samples in their decision process (Tversky and Kahneman, 1971, Jin and Peng, 2023). Alternative hypotheses, such as the disposition effect and stale limit orders, do not explain retail contrarian trading in our sample. Younger and more attentive traders are more likely to be contrarian, and a firm{\textquoteright}s dividend yield, leverage, size, book to market, and analyst coverage are associated with the fraction of contrarian trades they face around earnings announcements. External validation tests show that our results are not confined to the specific sample of investors and time frame of our dataset.

},
	author = {Cheng (Patrick) Luo and Enrichetta Ravina and Marco Sammon and Luis M. Viceira}
}
@workingpaper {647782,
	title = {Global Portfolio Diversification for Long-Horizon Investors},
	year = {2016},
	author = {Luis Viceira and Zixuan (Kevin) Wang}
}
@workingpaper {648184,
	title = {Asset Allocation with Endogenous Labor Income: The Case of Incomplete Markets},
	year = {2000},
	author = {Yeung Lewis Chan and Luis Viceira}
}
@workingpaper {648169,
	title = {Testing for Structural Change in the Predictability of Asset Returns},
	year = {1996},
	author = {Luis Viceira}
}
@booklet {648188,
	title = {Appendix to "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds"},
	year = {2016},
	author = {John Campbell and Adi Sunderam and Luis Viceire}
}
@booklet {648162,
	title = {Appendix to "Global Diversification for Long-Horizon Investors"},
	year = {2016},
	author = {Luis Viceira and Kevin Wang}
}
@booklet {648163,
	title = {Appendix to "Macroeconomic Drivers of Bond and Equity Risks"},
	year = {2012},
	author = {John Campbell and Pflueger, Carolin and Luis Viceira}
}
@booklet {648175,
	title = {Long-Horizon Mean-Variance Analysis: A User Guide, Appendix for "The Term Structure of the Risk-Return Tradeoff"},
	journal = {Financial Analysts Journal},
	year = {2005},
	author = {John Campbell and Luis Viceira}
}
@booklet {648180,
	title = {Appendix to "A Multivariate Model of Strategic Asset Allocation"},
	year = {2001},
	author = {John Campbell and Yeung Lewis Chan and Luis Viceira}
}
@booklet {648187,
	title = {Consumption and Portfolio Decisions When Expected Returns are Time Varying: Erratum},
	year = {2000},
	note = {This note corrects an error in the paper of the same name published in Quarterly Journal of Economics, May 1999},
	abstract = {This note corrects an error in the paper of the same name published in Quarterly Journal of Economics, May 1999},
	author = {John Campbell and Luis Viceira}
}
@booklet {648189,
	title = {Appendix to "Who Should Buy Long-Term Bonds?"},
	year = {1999},
	author = {John Campbell and Luis Viceira}
}
@article {647776,
	title = {Macroeconomic Drivers of Bond and Equity Risks},
	journal = {Journal of Political Economy},
	volume = {128},
	number = {8},
	year = {Forthcoming},
	month = {August 2020},
	abstract = {Winner of the first Arthur Warga Award for the Best Paper in Fixed Income, The Society for Financial Studies, 2014 Finance Cavalcade.},
	url = {https://www.journals.uchicago.edu/toc/jpe/0/ja},
	author = {John Y. Campbell and Carolin Pfueger and Luis Viceira}
}
@article {647805,
	title = {Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds},
	journal = {Critical Finance Review},
	volume = {6},
	number = {2},
	year = {2017},
	pages = {263-301},
	author = {John Y. Campbell and Adi Sunderam and Luis Viceira}
}
@article {648152,
	title = {Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates},
	journal = {International Journal of Forecasting},
	volume = {28},
	year = {2012},
	pages = {97-117},
	author = {Luis Viceira}
}
@article {648148,
	title = {The Excess Burden of Government Indecision},
	journal = {NBER Book Series Tax Policy and the Economy},
	volume = {26},
	year = {2012},
	pages = {125-163},
	author = {Francisco Gomes and Laurence Kotlikoff and Luis Viceira}
}
@article {648153,
	title = {Optimal Value and Growth Tilts in Long-Horizon Portfolios},
	journal = {Review of Finance},
	volume = {15},
	number = {1},
	year = {2011},
	pages = {29-74},
	author = {Jakub Jurek and Luis Viceira}
}
@article {648149,
	title = {Inflation-Indexed Bonds and the Expectations Hypothesis},
	journal = {Annual Review of Financial Economics},
	volume = {3},
	year = {2011},
	pages = {139-158},
	author = {Pflueger, Carolin and Luis Viceira}
}
@article {648151,
	title = {Global Currency Hedging},
	journal = {Journal of Finance},
	volume = {65},
	number = {1},
	year = {2010},
	author = {John Campbell and Karine Serfaty-de Medeiros and Luis Viceira}
}
@article {648150,
	title = {The Euro as a Reserve Currency for Global Investors},
	journal = {Spain and the Euro. The First Ten Years},
	year = {2010},
	author = {Ricardo Gimeno and Luis Viceira}
}
@article {648154,
	title = {Understanding Inflation-Indexed Bond Markets},
	journal = {Brookings Papers on Economic Activity},
	year = {2009},
	pages = {79-120},
	author = {John Campbell and Robert Shiller and Luis Viceira}
}
@article {648156,
	title = {Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds},
	journal = {American Economic Review: Papers and Proceedings},
	volume = {98},
	year = {2008},
	pages = {297-303},
	author = {Francisco Gomes and Laurence Kotlikoff and Luis Viceira}
}
@article {648172,
	title = {The Term Structure of the Risk-Return Tradeoff},
	journal = {Financial Analysts Journal},
	volume = {61},
	number = {1},
	year = {2005},
	author = {John Campbell and Luis Viceira}
}
@article {648171,
	title = {Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets},
	journal = {Review of Financial Studies},
	volume = {18},
	number = {4},
	year = {2005},
	author = {George Chacko and Luis Viceira}
}
@article {648176,
	title = {Strategic Asset Allocation in a Continuous-Time VAR Model},
	journal = {Journal of Economic Dynamics and Control},
	volume = {28},
	number = {11},
	year = {2004},
	author = {John Campbell and George Chacko and Jorge Rodriguez and Luis Viceira}
}
@article {648179,
	title = {A Multivariate Model of Strategic Asset Allocation},
	journal = {Journal of Financial Economics},
	volume = {67},
	number = {1},
	year = {2003},
	pages = {41-80},
	author = {John Campbell and Yeung Lewis Chan and Luis Viceira}
}
@article {648178,
	title = {Foreign Currency for Long-Term Investors},
	journal = {The Economic Journal},
	volume = {113},
	number = {486},
	year = {2003},
	author = {John Campbell and Luis Viceira and Joshua White}
}
@article {648177,
	title = {Spectral GMM Estimation of Continuous-Time Processes},
	journal = {Journal of Econometrics},
	volume = {116},
	number = {1-2},
	year = {2003},
	pages = {259-292},
	author = {George Chacko and Luis Viceira}
}
@article {648185,
	title = {Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income},
	journal = {Journal of Finance},
	volume = {56},
	number = {2},
	year = {2001},
	pages = {433-470},
	author = {Luis Viceira}
}
@article {648183,
	title = {Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor},
	year = {2001},
	author = {John Campbell and Joao Cocco and Francisco Gomes and Pascal Maenhout and Luis Viceira}
}
@article {648161,
	title = {Who Should Buy Long-Term Bonds?},
	journal = {The American Economic Review},
	volume = {91},
	number = {1},
	year = {2001},
	pages = {99-127},
	abstract = {Awarded the First FAME Research Award for exce3llence in research in Asset Management by the Inernational Center for Asset Management and Financial Engineering, Universities of Lausanne and Geneva, Switzerland, 1999.},
	author = {John Campbell and Luis Viceira}
}
@article {648186,
	title = {Consumption and Portfolio Decisions When Expected Returns are Time Varying},
	journal = {The Quarterly Journal of Economics},
	volume = {114},
	year = {1999},
	pages = {433-495},
	author = {John Campbell and Luis Viceira}
}
@case {648192,
	title = {Click on this link for case materials},
	year = {2020},
	abstract = {Please click\&nbsp;here\&nbsp;for an updated, linked list of my Harvard Business School cases and teaching materials, including teaching notes and module notes. Access to teaching notes and module notes are restricted and require logging into the\&nbsp;Harvard Business School Publishing\&nbsp;website.}
}
@inbook {648147,
	title = {Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity },
	booktitle = {Handbook of Fixed-Income Securities},
	year = {2016},
	author = {Carolin E. Pflueger and Luis Viceira},
	editor = {Pietro Veronesi}
}
@inbook {648155,
	title = {Pension Fund Design in Developing Economies},
	booktitle = {Evaluating the Financial Performance of Pension Funds},
	year = {2010},
	author = {Luis Viceira},
	editor = {Richard Hinz and Heinz P. Rudolph and Pablo Antolin and Juan Yermo}
}
@inbook {648157,
	title = {Life-Cycle Funds},
	booktitle = {Overcoming the Saving Slump: How to Increase the Effectiveness of Financial Education and Saving Programs},
	year = {2008},
	publisher = {University of Chicago Press},
	organization = {University of Chicago Press},
	author = {Luis Viceira},
	editor = {Annamaria Lusardi}
}
@inbook {648284,
	title = {Developments in Asset Allocation Modeling},
	booktitle = {Global Perspectives on Investment Management: Learning from the Leaders},
	year = {2006},
	publisher = {CFA Institute},
	organization = {CFA Institute},
	url = {https://www.amazon.com/Global-Perspectives-Investment-Management-Learning/dp/1932495649},
	author = {Luis Viceira},
	editor = {Rodney N. Sullivan}
}
@inbook {648170,
	title = {Strategic Asset Allocation for Pension Plans},
	booktitle = {Oxford Handbook of Pensions and Retirement Income},
	year = {2006},
	publisher = {Oxford University Press},
	organization = {Oxford University Press},
	author = {John Campbell and Luis Viceira},
	editor = {Gordon Clark and Munnell, Alicia and Michael Orszag}
}
@book {648160,
	title = {Strategic Asset Allocation: Portfolio Choice for Long-Term Investors},
	year = {2002},
	publisher = {Oxford University Press},
	organization = {Oxford University Press},
	abstract = {[[{"fid":"701679","view_mode":"default","type":"media","attributes":{"height":"263","width":"165","style":"float: left;","alt":"Image","class":"media-element file-default"}}]]Website},
	author = {John Campbell and Luis Viceira}
}
