Premium
Individual Investor Trading and Stock Returns
Author(s) -
KANIEL RON,
SAAR GIDEON,
TITMAN SHERIDAN
Publication year - 2008
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.2008.01316.x
Subject(s) - immediacy , investor behavior , stock (firearms) , market liquidity , excess return , economics , monetary economics , financial economics , business , test (biology) , mechanical engineering , paleontology , philosophy , context (archaeology) , epistemology , engineering , biology
This paper investigates the dynamic relation between net individual investor trading and short‐horizon returns for a large cross‐section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We document positive excess returns in the month following intense buying by individuals and negative excess returns after individuals sell, which we show is distinct from the previously shown past return or volume effects. The patterns we document are consistent with the notion that risk‐averse individuals provide liquidity to meet institutional demand for immediacy.