Abstract
Using exact and complete Korean data of investor trading, we provide an anatomy of investor types' trading throughout the short-horizon overshooting-and-reversal pattern in stock returns. We document two forms of non-optimal trading behaviour associated with the pattern: First, institutional investors' chasing of return shocks at the overshooting point, particularly in the large-cap segment. Second, individual investors' buying of winner stocks in the small-cap segment, consistent with an attention-driven speculative buying bias.