Individual Investor Trading and Stock Returns
研究纽约证券交易所股票的个人投资者净交易与短期收益的动态关系，发现个人投资者倾向于在价格下跌后买入、上涨后卖出，且其交易行为能预测后续超额收益，这不同于以往发现的过去收益或成交量效应。
ABSTRACT This paper investigates the dynamic relation between net individual investor trading and short‐horizon returns for a large cross‐section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We document positive excess returns in the month following intense buying by individuals and negative excess returns after individuals sell, which we show is distinct from the previously shown past return or volume effects. The patterns we document are consistent with the notion that risk‐averse individuals provide liquidity to meet institutional demand for immediacy.