@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}
}
