Retail Trading and Return Predictability in China
利用中国散户账户数据，将散户分为五组，发现小账户散户预测收益错误、有动量交易、忽视新闻、过度自信和赌博偏好，而大账户散户预测正确、反向交易并利用新闻，但交易成本抵消了选股能力。
Abstract Using comprehensive account-level data, we separate Chinese retail investors into 5 groups and document strong heterogeneity in trading dynamics and performances. Retail investors with smaller account sizes cannot predict future returns correctly, display daily momentum patterns, fail to process public news, and show overconfidence and gambling preferences, while retail investors with larger account balances predict future returns correctly, display contrarian patterns, and incorporate public news in trading. Using performance measures established in previous literature, we find that smaller retail investors suffer from poor stock selection abilities and trading costs, while large retail investors’ stock selection abilities are offset by trading costs.