Small trades and the cross-section of stock returns

• 成果类型: Article
• 署名作者: Hvidkjaer, Soeren
• 署名单位: INSEAD Business School; University System of Maryland; University of Maryland College Park
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn049
• 发表日期: 2008
• 页码: 1123
• 关键词: market; performance; INVESTMENT; momentum; BEHAVIOR; RISK

摘要

This paper uses volume arising from small trades to analyze the relationship between retail investor trading behavior and the cross-section of future stock returns. The central finding is that stocks with intense sell-initiated small-trade volume, measured over the past several months, outperform stocks with intense buy-initiated small-trade volume. This return difference accrues from the first month after the portfolio formation up to two years later. Among small- and medium-sized firms, the return difference continues in the third year. The results suggest that stocks favored by retail investors subsequently experience prolonged underperformance relative to stocks out of favor with retail investors.