伍燕然、Li Zhongtai，“Are active individual investors in mutual funds momentums or contrarians?”，published online:Feb 2023,Applied Economics（SSCI），DOI：10.1080/00036846.2023.2176455

ABSTRACT: We use transaction data of active individual investors in mutual funds to examine whether investors are momentum or contrarian by combining binomial distribution with the multinomial logit model. We find that individual investors adopt different trading strategies in making their purchase and redemption decisions, whereby they act as momentum buyers and contrarian sellers. Different fund styles do not affect investors' trading decisions based on historical returns, and investors' trading behaviours in value and dividend funds are consistent. After identifying each investor's trading strategy, we examine the impact of demographics on trading behaviour for the first time. We find that older individual investors in mutual funds are more likely to be momentums, as are those with stock trading experience. Individual investors with large transaction sizes are more likely to be momentum buyers, while investors of small sizes are contrarian. Our research not only helps managers understand the trading behaviour of individual investors but also provides some help to regulators.