... of individual investors. Kumar (2009) and Boyer et al. (2010) assert that individual investors favor assets with a low likelihood but high potential for positive returns. Bali et al. (2011) measure a stock's extreme return as the maximum daily return (MAX) and identify the MAX effect...

... or index rebalancing effect. The author also finds that individual and institutional traders do not trade and buy more stocks at the TOM than on the rest days, not consistent with existing explanations of the increased liquidity by individual investors or institutional window-dressing activity. When...

...Okrye Kong; Daekeun Park This study analysed the effect of individual investors‘ sell-buy imbalance on asymmetric volatility in returns using daily transaction data of the Korean ETF market. Major Finding of the Paper are as follows. First, there exists asymmetric volatility in the sense...

...Jay M. Chung; Jae Keun Kim We examine the argument of the Financial Supervisory Service that the behavior of the Individual Investors to buy an out-of-the-money option is excessively speculative. The FSS reported that the individual investors incurred huge losses in the trading of KOSPI200 index...