Correlated trading and returns

• 成果类型: Article
• 署名作者: Dorn, Daniel; Huberman, Gur; Sengmueller, Paul
• 署名单位: Drexel University; Columbia University; Tilburg University; University of Amsterdam
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01334.x
• 发表日期: 2008
• 页码: 885-920
• 关键词: stock; performance; momentum; MARKET; IMPACT; INFORMATION; investors; BEHAVIOR

摘要

A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably due to persistent speculative price pressure. Correlated limit orders also predict subsequent returns, consistent with executed limit orders being compensated for accommodating liquidity demands.