Speculative Retail Trading and Asset Prices

被引：237

作者：

Han, Bing ^{[1
,2
]}

Kumar, Alok ^{[3
]}

机构：

[1] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada

[2] Univ Texas Austin, Austin, TX 78712 USA

[3] Univ Miami, Sch Business Adm, Coral Gables, FL 33124 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2013年 / 48卷 / 02期

关键词：

CROSS-SECTION; RISK; RETURNS; STOCKS; OVERCONFIDENCE; PERFORMANCE; INVESTMENT; LOTTERIES; TRADES;

D O I：

10.1017/S0022109013000100

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the characteristics and pricing of stocks that are actively traded by speculative retail investors. We find that stocks with high retail trading proportion (RTP) have strong lottery features and they attract retail investors with strong gambling propensity. Furthermore, these stocks tend to be overpriced and earn significantly negative alpha. The average monthly return differential between the extreme RTP quintiles is -0.60%. This negative RTP premium is stronger among stocks that have lottery features or are located in regions where people exhibit stronger gambling propensity. Collectively, these results indicate that speculative retail trading affects stock prices.

引用

页码：377 / 404

页数：28

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