Tracking Retail Investor Activity

58 Pages Posted: 13 Aug 2016 Last revised: 6 Jul 2019

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

Date Written: June 26, 2019

Abstract

We provide an easy way to use recent, publicly available U.S. equity transactions data to identify marketable retail purchases and sales. Individual stocks with net buying by retail investors outperform stocks with negative imbalances, and the magnitude is approximately 10 basis points over the following week. Less than half of order imbalance’s predictive power can be attributed to order flow persistence and potential liquidity provision. The rest is consistent with the hypothesis that retail investors are informed. We provide supportive evidence that retail investors are mainly informed about firm-level news, and that they are likely to have valuable private information.

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 (June 26, 2019). 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 (Contact Author)

Tsinghua University - PBC School of Finance ( email )

No. 43, Chengdu Road
Haidian District
Beijing 100083
China

Xinran Zhang

Tsinghua University - PBC School of Finance ( email )

No. 43, Chengdu Road
Haidian District
Beijing 100083
China

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