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Full-Text Articles in Portfolio and Security Analysis

The Effects Of Eps Level And Presentation Format Of Analysts’ Forecast Deviation On Non-Professional Investors’ Investment Judgments, Clarence Goh, Prasart Jongjaroenkamol, Poh-Sun Seow Dec 2026

The Effects Of Eps Level And Presentation Format Of Analysts’ Forecast Deviation On Non-Professional Investors’ Investment Judgments, Clarence Goh, Prasart Jongjaroenkamol, Poh-Sun Seow

Research Collection School Of Accountancy

We experimentally investigate how the presentation format of the extent to which a firm's earnings per share (EPS) diverges from analysts' EPS forecasts (i.e. deviation information) and a firm's EPS level affect the investment judgments of non-professional investors (referred to hereafter as “investors”). Our results suggest that investors' investment judgments are more positive when firms with low (high) EPS levels disclose deviation information in percentage (absolute) terms. Furthermore, when the percentage of forecast deviation is held constant, investment judgments are more positive when EPS levels are high versus low if the deviation information is expressed in absolute terms. By contrast, …

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Woulda, Shoulda, Coulda? The Impact Of Predictive, Prescriptive, And Prospective Expectations On Stakeholder Reactions, Yuri Mishina, Maxine Yu, David Gomulya Apr 2026

Woulda, Shoulda, Coulda? The Impact Of Predictive, Prescriptive, And Prospective Expectations On Stakeholder Reactions, Yuri Mishina, Maxine Yu, David Gomulya

Research Collection Lee Kong Chian School Of Business

When and why might stakeholders react to firm activities in ways that might be different than, or even contradictory to, what we might expect based on the extant research? We draw on expectancy violation theory (EVT) and bring in the notion of heuristics and future-oriented expectations to examine this question, using a sample of investor reactions to earnings surprises from 2013 to 2019. We find that, in addition to comparing earnings to consensus earnings estimates, investors appear to compare the earnings surprises to the firm’s past performance and to its peers. Importantly, their expectations regarding future interactions with the firm …

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Nominal Prices, Retail Investor Participation, And Return Momentum, Jun Du, Dashan Huang, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam, Huacheng Zhang Mar 2026

Nominal Prices, Retail Investor Participation, And Return Momentum, Jun Du, Dashan Huang, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam, Huacheng Zhang

Research Collection Lee Kong Chian School Of Business

We employ an identification strategy for retail participation to explore the link between return momentum and investing clientele. This scheme relies on strictly enforced round-lot rules in China, which financially constrain retail investors from participating in stocks with high nominal prices. We find that there is strong momentum in high-priced stocks, but no momentum on aggregate. This result supports the idea that noise trades of retail investors mask momentum, while other, more sophisticated investors contribute to momentum. We validate this notion by showing that retail investors with small (large) portfolios are less (more) prone to participating in stocks with high …

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Information Sharing Within Institutional Investor Networks, Wei Ting Loh Feb 2026

Information Sharing Within Institutional Investor Networks, Wei Ting Loh

Research Collection School Of Accountancy

This study examines whether information sharing occurs within institutional investor networks. I identify networks of institutional investors who share common investments and find that in-network investors earn significantly higher returns than other investors of the same firm, suggesting that valuable private information is shared within these networks. I also find that ownership by investor networks is associated with speedier price discovery and incorporation of more firm-specific news in prices, consistent with information sharing facilitating efficient price formation. In addition, ownership by network investors is associated with higher information risk as reflected in the probability of informed trading and market liquidity. …

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A Transaction Cost Perspective On Option Anomalies, James O'Donovan, Gloria Yang Yu Dec 2025

A Transaction Cost Perspective On Option Anomalies, James O'Donovan, Gloria Yang Yu

Research Collection Lee Kong Chian School Of Business

We examine the impact of transaction costs on the profitability of long-short portfolios of delta-hedged option returns. Of the 24 portfolio sort variables studied, 17 generate positive and significant gross returns, but none remain profitable after accounting for trading costs. We propose a cost-mitigation approach that restores profitability to 7 key portfolios. Furthermore, we demonstrate that the choice of delta-hedging frequency has a first-order impact on transaction costs. Our findings underscore the central role of implementation costs in shaping the investment opportunity set in equity–option markets, highlighting the need to account for transaction costs when evaluating option-based strategies.

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Risk Premia-Return Spillovers Among Commodity-Us Equity Markets, Marinela Adriana Finta Sep 2025

Risk Premia-Return Spillovers Among Commodity-Us Equity Markets, Marinela Adriana Finta

Sim Kee Boon Institute for Financial Economics

This study examines the risk premia-return spillovers of eight commodities (corn, soybean, wheat, copper, silver, gold, oil, and natural gas) and the U.S. equity market from 2008 to 2016. We define volatility, skewness, and kurtosis risk premia as the difference between implied and realized moments. Our results reveal an increasing trend in cross-market and cross-moment spillovers until mid-2012, with various announcements explaining these effects. Moreover, we document substantial cross-energy and cross-metal spillovers to the equity market and cross-return spillovers to risk premia. Higher-order risk premia also exhibit the highest effects on returns. In addition, we underline the prominent influence of …

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Speculative Bubbles In The Recent Ai Boom: Nasdaq And The Magnificent Seven, Rerotlhe B. Basele, Peter C. B. Phillips, Shuping Shi Sep 2025

Speculative Bubbles In The Recent Ai Boom: Nasdaq And The Magnificent Seven, Rerotlhe B. Basele, Peter C. B. Phillips, Shuping Shi

Research Collection School Of Economics

The recent artificial intelligence (AI) boom covers a period of rapid innovation and wide adoption of AI intelligence technologies across diverse industries. These developments have fueled an unprecedented frenzy in the Nasdaq, with AI-focused companies experiencing soaring stock prices that raise concerns about speculative bubbles and real-economy consequences. Against this background, this study investigates the formation of speculative bubbles in the Nasdaq stock market with a specific focus on the so-called Magnificent Seven (Mag-7) individual stocks during the AI boom, spanning the period from January 2017 to January 2025. We apply the real-time PSY bubble detection methodology of Phillips et …

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Would Order-By-Order Auctions Be Competitive?, Thomas Ernst, Chester Spatt, Jian Sun Aug 2025

Would Order-By-Order Auctions Be Competitive?, Thomas Ernst, Chester Spatt, Jian Sun

Research Collection Lee Kong Chian School Of Business

We model two methods of executing segregated retail orders: brokers’ routing,whereby brokers allocate orders using the market maker’s overall performance, andorder-by-order auctions, where market makers bid on individual orders, a recent U.S.Securities and Exchange Commission proposal. Order-by-order auctions improve al-locative efficiency, but face a winner’s curse reducing retail investor welfare, partic-ularly when liquidity is limited. Additional market participants competing for retailorders fail to improve total efficiency and investor welfare when entrants possess in-formation superior to incumbent wholesalers. Our results hold when new entrants are less informed or the information structure differs. We also examine the cross-subsidization of brokers’ routing.

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Individual Or Team Analyst Reports? The Organization Of Analyst Research Activities, Xia Chen, Ning Jia, Dan Wang Jun 2025

Individual Or Team Analyst Reports? The Organization Of Analyst Research Activities, Xia Chen, Ning Jia, Dan Wang

Research Collection School Of Accountancy

Given the importance of research resource allocation within brokerage firms, we examine key factors that influence the issuance of individual vs. team analyst reports. Using a comprehensive sample of analyst reports from China for the 2008-2021 period, we find that this decision is influenced by (1) the brokerage firm's client interests, whereby firms held by the brokerage firm's mutual fund clients and firms that are the brokerage firm's underwriting clients receive more team than individual reports from the brokerage firm, and (2) the nature of corporate events, whereby routine events receive more team reports and nonroutine events receive more individual …

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The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang Jun 2025

The Gender Effects Of Covid: Evidence From Equity Analysts, Frank Weikai Li, Baolian Wang

Research Collection Lee Kong Chian School Of Business

We use COVID-19 and sell-side analysts as an experiment to study the effects of gender on labor productivity. We find that the forecast accuracy of female analysts declined more than that of male analysts, especially when schools were closed and among analysts who were more likely to have young children, were inexperienced, were busier, or lived in southern states of the US. Relative to male analysts, females also reduced their forecast timeliness and resorted to more heuristic forecasts but did not reduce coverage or updating frequency. Relative to pre pandemic, female analysts’ careers were more negatively affected than male analysts’. …

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Covid-19 And Investors' Trading Behavior: Evidence From The New Zealand Equity Market, Finn West Wilkinson, Marinela Adriana Finta, Olena Onishchenko Apr 2025

Covid-19 And Investors' Trading Behavior: Evidence From The New Zealand Equity Market, Finn West Wilkinson, Marinela Adriana Finta, Olena Onishchenko

Research Collection Lee Kong Chian School Of Business

This paper examines the trading behavior of retail and institutional investors during the COVID-19 pandemic in New Zealand. Using transaction-level data, it compares how retail and institutional investors trade over the government announcements, lockdown, and reopening periods. Retail and institutional investors' trading intensifies around government announcements, which facilitates attenuating illiquidity during the lockdown. Nevertheless, while retail trading is substantially more prominent during the lockdown than over the control and reopening periods, institutional investors do not trade significantly more per se or on announcements during the lockdown but trade less during the reopening. Their trading also relates to contemporaneous returns, and …

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Is Carbon Risk Priced In The Cross Section Of Corporate Bond Returns?, Tinghua Duan, Frank Weikai Li, Quan Wen Feb 2025

Is Carbon Risk Priced In The Cross Section Of Corporate Bond Returns?, Tinghua Duan, Frank Weikai Li, Quan Wen

Research Collection Lee Kong Chian School Of Business

This article examines the pricing of a firm’s carbon risk in the corporate bond market. Contrary to the “carbon risk premium” hypothesis, bonds of more carbon-intensive firms earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure to known risk factors. Investigating sources of the low carbon alpha, we find the underperformance of bonds issued by carbon-intensive firms cannot be fully explained by divestment from institutional investors. Instead, our evidence is most consistent with investor underreaction to the predictability of carbon intensity for firm cash-flow news, creditworthiness, and environmental incidents.

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Fomo And The Ico: The Changing Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner Dec 2024

Fomo And The Ico: The Changing Salience Of Quality Signals, Simon J.D. Schillebeeckx, Sandzhar Tazhibaev, Johannes Gartner

Research Collection Lee Kong Chian School Of Business

The manuscript investigates whether the individual personality trait, Fear of Missing Out (FOMO)—typically considered negative—influences the willingness of individuals to contribute to Initial Coin Offerings (ICOs), a phenomenon that emerged after the blockchain revolution. We conducted both qualitative and quantitative work in this space and present the results of an international survey, including a conjoint experiment. Theoretically, we anchor our study in signaling theory and propose that signal valence (the positive or negative interpretation of a signal) can diverge from signal intent. Specifically, we find that candidate ICO funders with strong FOMO behave predictably irrationally. They are more likely to …

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Decoding Gpt Mania In Chinese Stock Market, Yan Ma, Nan Hu, Shuyang Jia Aug 2024

Decoding Gpt Mania In Chinese Stock Market, Yan Ma, Nan Hu, Shuyang Jia

Research Collection School Of Computing and Information Systems

This study investigates the impact of investor attention on stock market reactions to ChatGPT using dialogues on the Chinese interactive investor platforms (IIPs). We measure investor attention by the number of investors’ questions toward ChatGPT on the IIPs and categorize the firms’ answers as Investing, Speculative, and Absent. The research reveals positive and statistically significant market reactions surrounding the initial questions that occur before firm responses. Positive abnormal returns are also observed around the initial answer dates, with Investing firms evoking the highest market response, followed by Speculative firms, and Absent firms exhibiting the lowest reactions. Our results suggest that …

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Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu Jul 2024

Who Profits From Trading Options?, Jianfeng Hu, Antonia Kirilova, Gilbert Seongkyu Park, Doojin Ryu

Research Collection Lee Kong Chian School Of Business

We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors' skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent …

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Price Discovery On Decentralized Exchanges, Agostino Capponi, Ruizhe Jia, Shihao Yu Jul 2024

Price Discovery On Decentralized Exchanges, Agostino Capponi, Ruizhe Jia, Shihao Yu

Research Collection Lee Kong Chian School Of Business

Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick execution through a public priority fee bidding mechanism. This influences the trading strategy of informed traders and creates a distinct price discovery process on DEXs compared to centralized exchanges. We present empirical evidence that high-fee DEX trades contain more private information. Informed traders bid high fees not only to avoid execution risk from blockchain congestion, but also to compete for execution priority. Using a dataset of Ethereum mempool orders, we demonstrate that informed traders employ a ``jump bidding'' strategy, placing high initial bids to deter potential competitors.

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Retail Investors' Activity And Climate Disasters, Marinela Adriana Finta Jun 2024

Retail Investors' Activity And Climate Disasters, Marinela Adriana Finta

Sim Kee Boon Institute for Financial Economics

We analyze the effects of climate disasters on retail investors’ trading activity. Results show that retail investors trade significantly less during and around climate disasters, and retail buyers exhibit higher returns than sellers. Climate disasters weaken the positive return predictability of the past month’s order imbalances while strengthening it for the past six month’s order imbalances. In the short run, firms within climate disaster counties with retail net buying underperform those with negative imbalances. Instead, in the long run, firms within and outside climate disaster counties with positive order flows outperform those with negative order flows. Finally, the estimates on …

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Robo-Advisers And Investor Behavior, Benjamin Loos, Pengfei Ma, Alessandro Previtero, Andres Hackethal May 2024

Robo-Advisers And Investor Behavior, Benjamin Loos, Pengfei Ma, Alessandro Previtero, Andres Hackethal

Sim Kee Boon Institute for Financial Economics

Using data from a large German retail bank, we investigate the effects of the introduction of a robo-advisory tool on clients’ portfolios. Robo clients experience a significant increase in financial risk-taking and improve portfolio efficiency along several dimensions (more diversification, less home bias, more investment in passive funds, reduced investment fees). Our evidence is consistent with robo-advisers being a more cost-effective approach for offering financial advice, especially to less sophisticated investors.

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Financial Literacy And Ipo Underpricing, Xiaoran Jia, Kiridaran G. Kanagaretnam, Chee Yeow Lim, Gerald J. Lobo May 2024

Financial Literacy And Ipo Underpricing, Xiaoran Jia, Kiridaran G. Kanagaretnam, Chee Yeow Lim, Gerald J. Lobo

Research Collection School Of Accountancy

Using an international sample of IPO firms and two country-level measures of financial literacy, we find strong evidence that financial literacy is negatively associated with IPO underpricing. In cross-sectional analyses, we find that the effect of financial literacy in reducing IPO underpricing is more pronounced when the information environment is less transparent. Employing path analysis, we document that information friction, firm transparency, and stock market participation are mechanisms that mediate this relationship. Our study contributes to and extends the literature by providing strong evidence that citizens' financial literacy has an important and consistent influence on IPO underpricing.

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Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen Apr 2024

Siphoned Apart: A Portfolio Perspective On Order Flow Segmentation, Markus Baldauf, Joshua Mollner, Bart Zhou Yueshen

Research Collection Lee Kong Chian School Of Business

We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.

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Intrafirm Knowledge Sharing In The Investment Research Industry, Artur Hugon, An-Ping Lin, Stanimir Markov Apr 2024

Intrafirm Knowledge Sharing In The Investment Research Industry, Artur Hugon, An-Ping Lin, Stanimir Markov

Research Collection School Of Accountancy

We study interdepartment knowledge sharing in an investment research setting where the benefits are potentially significant for the brokerage and the capital market, but so are the frictions impeding it. Using hand-collected data on equity analyst access to in-house debt research expertise, we find significant benefits to equity analysts in the form of improved ability to forecast cash flows and to anticipate credit rating downgrades. Moreover, we find evidence that access to management and research expertise underlie in-house debt analysts' capacity to generate information beneficial to equity analysts. Finally, these benefits exist only in the presence of a collaborative brokerage …

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Investing In Climate: A Role For 'Sovereign Climate Funds', Marianna Kozintseva, Thierry Wizman Mar 2024

Investing In Climate: A Role For 'Sovereign Climate Funds', Marianna Kozintseva, Thierry Wizman

Sim Kee Boon Institute for Financial Economics

Efforts to address climate change have generally been focused on deploying mitigation technologies. However, it is adaptation technologies (and climate risk transfer) that will have to gain an increasing share of an investment pool dedicated to climate if human systems are to stay resilient to climate forces. Just like mitigation projects, adaptation projects have a strong public goods aspect, wherein public returns exceed private returns, and thus call for the state’s involvement. We argue that sovereign climate funds (SCFs) - new types of sovereign wealth funds with a climate investment mandate - can be critical purpose-built conduits especially for undertaking …

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Analysts' Earnings Per Share Forecasts: The Effects Of Forecast Uncertainty And Forecast Precision On Investor Judgements, Clarence Goh Mar 2024

Analysts' Earnings Per Share Forecasts: The Effects Of Forecast Uncertainty And Forecast Precision On Investor Judgements, Clarence Goh

Research Collection School Of Accountancy

This study uses controlled experiments to investigate the joint effects of forecast uncertainty and forecast precision on investor judgements. It finds that forecast precision moderates the effects of forecast uncertainty on investors' forecast reliability judgements such that the effects of forecast uncertainty on investors' judgements of forecast reliability are more negative when an analyst's point earnings per share (EPS) forecast is rounded than when it is precise. In addition, the relationship between forecast precision and investors' judgements of forecast reliability is mediated by investors' perceptions of forecast attributes. The evidence also suggests that while forecast uncertainty exerts a negative effect …

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Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. Goh, Lisa (Zongfei) Yang Feb 2024

Do Underwriters Short-Change Corporations Issuing Bonds?, Jeremy C. Goh, Lisa (Zongfei) Yang

Research Collection Lee Kong Chian School Of Business

We confirm prior evidence that bonds on average are offered at prices below their immediate post-offer secondary market prices. However, in cases where banks lead–manage their own bond offerings the underpricing is significantly less as compared with other non-self-marketed offerings. These findings are robust across various matched samples and selection models. Our results suggest that the bond offering process is characterized by substantive agency conflicts between shareholders of corporations (issuers) and underwriters.

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Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo Feb 2024

Diverse Hedge Funds, Yan Lu, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

Hedge fund teams with heterogeneous educational backgrounds, academic specializations, work experiences, genders, and races, outperform homogeneous teams after adjusting for risk and fund characteristics. An event study of manager team transitions, instrumental variable regressions, and an analysis of managers who simultaneously operate solo- and team-managed funds address endogeneity concerns. Diverse teams deliver superior returns by arbitraging more stock anomalies, avoiding behavioral biases, and minimizing downside risks. Moreover, diversity allows hedge funds to circumvent capacity constraints and generate persistent performance. Our results suggest that diversity adds value in asset management. Authors have furnished an Internet Appendix, which is available on the …

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What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang Feb 2024

What Difference Do The New Factor Models Make In Portfolio Allocation?, Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang

Research Collection Lee Kong Chian School Of Business

This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang model shows similar power as the Fama-French model in describing the covariance matrix of asset returns. Overall, the two models do not make a difference for investing in a realistic setting.

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Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang Jan 2024

Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang

Research Collection Lee Kong Chian School Of Business

We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast, effects on price reversal are ambiguous, depending on investors relative delta hedging sensitivity, i.e., the gamma of the derivatives. The model cautions of potential disconnections between illiquidity measures and liquidity risk premium due to derivatives trading.

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The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities, Xia Chen, Qiang Cheng, Ting Luo Jan 2024

The Economic Value Of Blockchain Applications: Early Evidence From Asset-Backed Securities, Xia Chen, Qiang Cheng, Ting Luo

Research Collection School Of Accountancy

In this paper, we evaluate the economic value of a blockchain application. In the context of asset-backed securities (ABS) issuance in China, where some ABS are issued with blockchain technology and others are not, we find that the use of blockchain significantly reduces the coupon yield at issuance. Compared with other ABS, those issued using blockchain technology experience a decrease of 31.4 basis points in the yield spread, which corresponds to a relative decrease of 13%. We further document that the effect of blockchain is more pronounced for ABS deals rated by less reputable credit rating agencies and agencies that …

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Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou Dec 2023

Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic properties. Using both the existing and the new method, we find empirically that real-time macro variables have significant forecasting power both in-sample and out-of-sample. Moreover, they generate sizable economic values, and their predictability is not spanned by the yield curve. We also observe that the forecasted bond returns are countercyclical, and the magnitude of predictability is stronger during …

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Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek Lee, Jun Ma, Dimitris Margaritis, Wanyi Yang Nov 2023

Is Anti-Herding Always A Smart Choice? Evidence From Mutual Funds, John Byong-Tek Lee, Jun Ma, Dimitris Margaritis, Wanyi Yang

Sim Kee Boon Institute for Financial Economics

Recent empirical studies document a negative relation between herding behaviour and the skill of mutual fund managers. We explore this relationship further by focusing on fund managers' contrarian buy and sell behaviour against the market. Our study reveals an asymmetry in the performance of mutual funds with contrarian buy behaviour and contrarian sell behaviour. The contrarian-buy behaviour reflects skill by positively predicting the cross-section of next period's mutual fund returns, while the contrarian-sell behaviour reflects a lack of skill associated with a negative prediction. These findings are robust to various risk-adjusted performance measures. Contrarian-buy funds outperform momentum-buy funds by 3% …

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