Do Retail Trades Move Markets?

被引：430

作者：

Barber, Brad M. ^{[1
]}

Odean, Terrance ^{[1
]}

Zhu, Ning ^{[1
]}

机构：

[1] Univ Calif Davis, Davis, CA 95616 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2009年 / 22卷 / 01期

关键词：

COMMON-STOCK INVESTMENT; INDIVIDUAL INVESTORS; IDIOSYNCRATIC RISK; FINANCIAL-MARKETS; ARBITRAGE RISK; PRICES; RETURN; OVERCONFIDENCE; SENTIMENT; PERFORMANCE;

D O I：

10.1093/rfs/hhn035

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：151 / 186

页数：36

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