Daily Momentum and New Investors in an Emerging Stock Market

We thank seminar participants at CUHK, University of Hong Kong, Hong Kong Baptist University, University of Notre Dame, CKGSB, CICF, CFRC, and Miami Behavioral Finance Conference for helpful comments. We also thank Kun Yang from the Shenzhen Stock Exchange for excellent assistance. Jiang acknowledges financial support from General Research Fund of the Research Grants Council of Hong Kong (Project Number 14506218). Wei A. Xiong acknowledges financial support from the NSFC, China (Project Number 72273092). This paper represents the views of the authors, which are not necessarily the views of the Shenzhen Stock Exchange. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.