Individual investor trading and stock returns

被引：501

作者：

Kaniel, Ron ^{[1
]}

Saar, Gideon ^{[2
]}

Titman, Sheridan ^{[3
]}

机构：

[1] Duke Univ, Fuqua Sch Business, Durham, NC 27706 USA

[2] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA

[3] Univ Texas Austin, McCombs Sch Business, Austin, TX 78712 USA

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 01期

关键词：

D O I：

10.1111/j.1540-6261.2008.01316.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：273 / 310

页数：38

共 60 条

[1]

ANDRADE SC, 2005, TRADING SHOCKS ASSET

[2]

BAILEY W, 2004, VENTURING ABROAD FOR

[3]

BARBER B, 2005, WHO LOSES TRADE EVID

[4]

BARBER B, 2005, ALL GLITTERS EFFECT