Download or read book Skewness, Individual Investor Preference, and the Cross-Section of Stock Returns written by Tse-Chun Lin and published by . This book was released on 2017 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find a robust negative relation between skewness/lotter-like features, proxied by maximum return (MAX) over the last month, and future returns for stocks preferred by individual investors. This negative relation is nonexistent for the rest of stocks. We identify stocks preferred by individual investors through bundling 10 stock characteristics associated with their stock preferences. The negative relation between MAX and future return is produced by the stocks preferred by individuals that account for less than 5% of the overall market capitalization. Our results are robust to alternative definitions of MAX and lotter-like features such as total, idiosyncratic, and expected skewness.