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Tracking Retail Investor Activity
Author(s) -
BOEHMER EKKEHART,
JONES CHARLES M.,
ZHANG XIAOYAN,
ZHANG XINRAN
Publication year - 2021
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/jofi.13033
Subject(s) - contrarian , proxy (statistics) , business , predictive power , market liquidity , equity (law) , order (exchange) , monetary economics , stock (firearms) , financial economics , economics , finance , philosophy , epistemology , machine learning , computer science , political science , law , mechanical engineering , engineering
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.