How Wise Are Crowds? Insights from Retail Orders and Stock Returns
利用独特数据库分析零售投资者在股票定价中的作用，发现激进订单能预测公司新闻和收益，而被动订单提供流动性并从价格反转中获利，两者共同促进市场效率。
ABSTRACT We analyze the role of retail investors in stock pricing using a database uniquely suited for this purpose. The data allow us to address selection bias concerns and to separately examine aggressive (market) and passive (limit) orders. Both aggressive and passive net buying positively predict firms’ monthly stock returns with no evidence of return reversal. Only aggressive orders correctly predict firm news, including earnings surprises, suggesting they convey novel cash flow information. Only passive net buying follows negative returns, consistent with traders providing liquidity and benefiting from the reversal of transitory price movements. These actions contribute to market efficiency.