Do Retail Trades Move Markets?

• 成果类型: Article
• 署名作者: Barber, Brad M.; Odean, Terrance; Zhu, Ning
• 署名单位: University of California System; University of California Davis
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn035
• 发表日期: 2009
• 页码: 151
• 关键词: COMMON-STOCK INVESTMENT; individual investors; idiosyncratic risk; financial-markets; ARBITRAGE RISK; prices; return; overconfidence; Sentiment; performance

摘要

We study the trading of individual investors using transaction data and identifying buyer- or seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When measured annually, small trade order imbalance forecasts future returns; stocks heavily bought underperform stocks heavily sold by 4.4 percentage points the following year. (4) Over a weekly horizon, small trade order imbalance reliably predicts returns, but in the opposite direction; stocks heavily bought one week earn strong returns the subsequent week, while stocks heavily sold earn poor returns.