Correlated trading and returns

被引:114
作者
Dorn, Daniel [1 ]
Huberman, Gur [2 ]
Sengmueller, Paul [3 ,4 ]
机构
[1] Drexel Univ, LeBow Coll Business, Philadelphia, PA 19104 USA
[2] Columbia Univ, Sch Business, New York, NY 10027 USA
[3] Tilburg Univ, CentER, Tilburg, Netherlands
[4] Univ Amsterdam, NL-1012 WX Amsterdam, Netherlands
关键词
D O I
10.1111/j.1540-6261.2008.01334.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably due to persistent speculative price pressure. Correlated limit orders also predict subsequent returns, consistent with executed limit orders being compensated for accommodating liquidity demands.
引用
收藏
页码:885 / 920
页数:36
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