Resolving a Paradox: Retail Trades Positively Predict Returns but Are Not Profitable
研究发现零售订单不平衡正向预测股票收益，但零售投资者平均亏损，原因是其交易集中在吸引注意力的股票上，这些股票随后表现不佳。
Abstract Retail order imbalance positively predicts returns, but on average retail investor trades lose money. Why? Order imbalance tests equal-weighted stocks, but retail purchases concentrate on attention-grabbing stocks that subsequently underperform. Long–short strategies based on extreme quintiles of retail order imbalance earn dismal annualized returns of −14.8% among stocks with heavy retail trading but earn 6.6% among other stocks. Our results reconcile the literatures on the performance of retail investors, the predictive content of retail order imbalance, and attention-induced trading and returns. Smaller retail trades concentrate more on attention-grabbing stocks and perform worse.