Tracking Retail Investor Activity

Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang, Xinran Zhang, XINRAN ZHANG, XINRAN ZHANGFinance市场微观结构UTD24

Journal of Finance2021-04-28Tsinghua UniversityDOI

Citations563

ABSTRACT 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.

ContrarianProxy (statistics)BusinessMarket liquidityPredictive powerMonetary economicsEquity (law)Order (exchange)Stock (firearms)EconomicsFinanceFinancial Markets and Investment Strategies