Tracking retail investor activity

• Main Authors: BOEHMER, Ekkehart, JONES, Charles M., ZHANG, Xiaoyan, ZHANG, Xinran
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2021
• 主題: Retail investor; price improvements; return predictability; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/7007; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8006/viewcontent/TrackingRetailInvActivity_sv.pdf
• 機構: Singapore Management University

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.