Tracking retail investor activity

Tracking retail investor activity

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...

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Bibliographic Details
Main Authors: BOEHMER, Ekkehart, JONES, Charles M., ZHANG, Xiaoyan, ZHANG, Xinran
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Retail investor
price improvements
return predictability
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7007
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8006/viewcontent/TrackingRetailInvActivity_sv.pdf
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Institution: Singapore Management University
Language: English
Description
Summary: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.

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