Publication Type
Journal Article
Version
submittedVersion
Publication Date
10-2021
Abstract
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.
Keywords
Retail investor, price improvements, return predictability
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Finance
Volume
76
Issue
5
First Page
2249
Last Page
2305
ISSN
0022-1082
Identifier
10.1111/jofi.13033
Publisher
Wiley
Citation
BOEHMER, Ekkehart; JONES, Charles M.; ZHANG, Xiaoyan; and ZHANG, Xinran.
Tracking retail investor activity. (2021). Journal of Finance. 76, (5), 2249-2305.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7007
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/jofi.13033