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

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...