Taking sides on return predictability

• 成果类型: Article
• 署名作者: Mclean, R. David; Pontiff, Jeffrey; Reilly, Christopher
• 署名单位: Boston College; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104158
• 发表日期: 2025
• 关键词: Trading; Return predictability; RETAIL INVESTORS; institutions

摘要

We assess how nine different categories of market participants trade relative to a comprehensive forecastedreturn variable based on 193 predictors. Firms and short sellers tend to be the smart money-both sell stocks with low-forecasted returns, and their trades predict returns in the intended direction. Retail investors trade against forecasted returns. Retail investors' and institutions' trades predict returns opposite to the intended direction. This poor trading performance is driven by trades in stocks with either high- or low-forecasted returns. The forecasted-return variable predicts returns more strongly in stocks with more intense retail trading, consistent with retail investors exacerbating mispricing.