Correlated Trading and Returns
研究发现德国一家券商的客户在同一股票上倾向于同向交易，这种关联交易不能用流动性效应、卖空限制等完全解释，且关联市价单和限价单均能预测后续收益。
ABSTRACT A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably due to persistent speculative price pressure. Correlated limit orders also predict subsequent returns, consistent with executed limit orders being compensated for accommodating liquidity demands.