Tracking Retail Investor Activity

• 成果类型: Article
• 署名作者: Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan; Zhang, Xinran
• 署名单位: Singapore Management University; Columbia University; Tsinghua University; Central University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13033
• 发表日期: 2021
• 页码: 2249-2305
• 关键词: STOCK RETURNS; ORDER; performance; RISK

摘要

We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment. There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm-level information that is not yet incorporated into prices.