Retail investor risk-seeking, attention, and the January effect
January effect, Retail investor attention, Risk-seeking
Journal of Behavioral and Experimental Finance
This study finds that relative to undepressed stocks, depressed stocks are more likely to attract retail investors at year end and experience an increase in retail investor attention. When retail investors are attracted to stocks at year end, they exhibit a higher demand for depressed stocks than for undepressed stocks, indicating their preference for the former. Such preference largely increases the economic significance of the January effect for depressed stocks, especially for small ones and more illiquid ones. These results provide strong support for the conjecture that retail investors actively seek risk at year end due to renewed optimism and the view that increased investor attention leads to more significant stock market anomalies.
Department of Finance
Original Publication Date
DOI of published version
UNI ScholarWorks, Rod Library, University of Northern Iowa
Chen, Zhongdong; Schmidt, Adam; and Wang, Jin'ai, "Retail investor risk-seeking, attention, and the January effect" (2021). Faculty Publications. 63.