Individual investor trading and stock returns

• 成果类型: Article
• 署名作者: Kaniel, Ron; Saar, Gideon; Titman, Sheridan
• 署名单位: Duke University; Cornell University; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01316.x
• 发表日期: 2008
• 页码: 273-310
• 关键词: INSTITUTIONAL TRADES; Foreign investors; MARKET-EFFICIENCY; SECURITY RETURNS; BEHAVIOR; volume; INFORMATION; performance; strategies; liquidity

摘要

This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We document positive excess returns in the month following intense buying by individuals and negative excess returns after individuals sell, which we show is distinct from the previously shown past return or volume effects. The patterns we document are consistent with the notion that risk-averse individuals provide liquidity to meet institutional demand for immediacy.