A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ
成果类型：
Article
署名作者：
Barber, Brad M.; Huang, Xing; Jorion, Philippe; Odean, Terrance; Schwarz, Christopher
署名单位：
University of California System; University of California Davis; Washington University (WUSTL); University of California System; University of California Irvine; University of California System; University of California Berkeley; University of California System; University of California Irvine
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.13334
发表日期：
2024
页码：
2403-2427
关键词：
摘要：
We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect identification rates but reduces the signing error rates to 5% and provides informative order imbalance measures for all stocks.
来源URL：