Podrobná bibliografie
| Název: |
Resolving a Paradox: Retail Trades Positively Predict Returns but Are Not Profitable. |
| Autoři: |
Barber, Brad M.1 (AUTHOR) bmbarber@ucdavis.edu, Lin, Shengle2 (AUTHOR) sf@sfsu.edu, Odean, Terrance3 (AUTHOR) odean@berkeley.edu |
| Zdroj: |
Journal of Financial & Quantitative Analysis. Sep2024, Vol. 59 Issue 6, p2547-2581. 35p. |
| Témata: |
*INDIVIDUAL investors, *STOCKS (Finance), *RATE of return on stocks, *PROFITABILITY, *STOCK prices |
| Abstrakt: |
Retail order imbalance positively predicts returns, but on average retail investor trades lose money. Why? Order imbalance tests equal-weighted stocks, but retail purchases concentrate on attention-grabbing stocks that subsequently underperform. Long–short strategies based on extreme quintiles of retail order imbalance earn dismal annualized returns of −14.8% among stocks with heavy retail trading but earn 6.6% among other stocks. Our results reconcile the literatures on the performance of retail investors, the predictive content of retail order imbalance, and attention-induced trading and returns. Smaller retail trades concentrate more on attention-grabbing stocks and perform worse. [ABSTRACT FROM AUTHOR] |
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