Tracking Retail Investor Activity
利用美国公开股票交易数据，提出识别散户可执行买卖的简易方法，发现散户净买入的股票未来一周跑赢净卖出股票约10个基点，其预测力部分源于订单流持续性，且可能包含尚未反映在价格中的公司层面信息。
ABSTRACT We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment. There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm‐level information that is not yet incorporated into prices.