Tracking Retail Investor Activity

86 Pages Posted: 13 Aug 2016 Last revised: 3 Nov 2020

See all articles by Ekkehart Boehmer

Ekkehart Boehmer

Singapore Management University - Lee Kong Chian School of Business

Charles M. Jones

Columbia Business School

Xiaoyan Zhang

Tsinghua University - PBC School of Finance

Xinran Zhang

Tsinghua University, PBC School of Finance, Students

Date Written: August 31, 2020

Abstract

We provide an easy method to identify purchases and sales initiated by retail investors using recent, widely available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 basis points over the following week. Less than half of the predictive power of marketable retail order imbalances is attributable to order flow persistence; contrarian trading (a proxy for liquidity provision) and public news sentiment explain little of the remaining predictability. There is suggestive (but only suggestive) evidence that retail marketable orders contain firm-level information that is not yet incorporated into prices.

Keywords: retail investor, price improvements, return predictability

JEL Classification: G14, G11

Suggested Citation

Boehmer, Ekkehart and Jones, Charles M. and Zhang, Xiaoyan and Zhang, Xinran, Tracking Retail Investor Activity (August 31, 2020). Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2822105 or http://dx.doi.org/10.2139/ssrn.2822105

Ekkehart Boehmer

Singapore Management University - Lee Kong Chian School of Business ( email )

Singapore

Charles M. Jones

Columbia Business School ( email )

3022 Broadway
Uris Hall Rm 101
New York, NY 10027
United States
(212) 854-4109 (Phone)

HOME PAGE: http://https://www8.gsb.columbia.edu/cbs-directory/detail/cj88

Xiaoyan Zhang

Tsinghua University - PBC School of Finance ( email )

No. 43, Chengdu Road
Haidian District
Beijing 100083
China

Xinran Zhang (Contact Author)

Tsinghua University, PBC School of Finance, Students ( email )

No. 43, Chengdu Road
Beijing 100083
China

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