Abstract
AbstractUsing exact and complete Korean data of investor trading, we provide an anatomy of investor types' trading throughout the short‐horizon overshooting‐and‐reversal pattern in stock returns. We document two forms of non‐optimal trading behaviour associated with the pattern: First, institutional investors' chasing of return shocks at the overshooting point, particularly in the large‐cap segment. Second, individual investors' buying of winner stocks in the small‐cap segment, consistent with an attention‐driven speculative buying bias.
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