Do Retail Trades Move Markets?

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ID: 302233
2008
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Abstract
We study the trading of individual investors using transaction data and identifying buyer- or seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When measured annually, small trade order imbalance forecasts future returns; stocks heavily bought underperform stocks heavily sold by 4.4 percentage points the following year. (4) Over a weekly horizon, small trade order imbalance reliably predicts returns, but in the opposite direction; stocks heavily bought one week earn strong returns the subsequent week, while stocks heavily sold earn poor returns.
Reference Key
openalex_W2128105362 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Brad M. Barber, Terrance Odean, Ning Zhu
Journal review of financial studies
Year 2008
DOI
10.1093/rfs/hhn035
URL
https://doi.org/10.1093/rfs/hhn035
Keywords Keywords not found

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