The DOI matches its Crossref record; 28 of the 28 references it cites were found in a registry or an index.
Tracking Retail Investor Activity
Open accessAbstract
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.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
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Barber, B. M., & Odean, T. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm079 · Cited by 4,556
Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
Barber, B. M., & Odean, T. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00226 · Cited by 3,955
Inferring Trade Direction from Intraday Data
LEE, C. M. C., & READY, M. J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02683.x · Cited by 3,147
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
Hansen, L. P., & Hodrick, R. J. (1980) · Journal of Political Economy · doi:10.1086/260910 · Cited by 2,111
Individual Investor Trading and Stock Returns
KANIEL, R., SAAR, G., & TITMAN, S. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01316.x · Cited by 1,002
BOEHMER, E., JONES, C. M., & ZHANG, X. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01324.x · Cited by 966
Self-citationDo retail trades move markets?
Barber, B. M., Odean, T., & Zhu, N. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn035 · Cited by 903
Cited by
Disclosure processing costs, investors’ information choice, and equity market outcomes: A review
Blankespoor, E., deHaan, E., & Marinovic, I. (2020) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2020.101344 · Cited by 1,076
Capital market effects of media synthesis and dissemination: evidence from robo-journalism
Blankespoor, E., deHaan, E., & Zhu, C. (2018) · Review of Accounting Studies · doi:10.1007/s11142-017-9422-2 · Cited by 299
Retail Trading in Options and the Rise of the Big Three Wholesalers
BRYZGALOVA, S., PAVLOVA, A., & SIKORSKAYA, T. (2023) · The Journal of Finance · doi:10.1111/jofi.13285 · Cited by 160
The Irrelevance of Environmental, Social, and Governance Disclosure to Retail Investors
Moss, A., Naughton, J. P., & Wang, C. (2024) · Management Science · doi:10.1287/mnsc.2023.4822 · Cited by 127
The Irrelevance of ESG Disclosure to Retail Investors
Moss, A., Naughton, J. P., & Wang, C. (2020) · doi:10.2139/ssrn.3604847 · Cited by 62
Metadata
- Authors
- BOEHMER, E., JONES, C. M., ZHANG, X., & ZHANG, X.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2021-05-14
- Volume
- 76
- Issue
- 5
- Pages
- 2249-2305
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3159360958
- Cited by
- 599
- References
- 28
- FWCI
- 27.02
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
