Informed retail investors: Evidence from retail short sales

被引：7

作者：

Gamble, Keith Jacks ^{[1
]}

Ku, Wei ^{[2
]}

机构：

[1] Middle Tennessee State Univ, Jones Coll Business, Murfreesboro, TN 37132 USA

[2] Peking Univ, HSBC Sch Business, Beijing, Peoples R China

来源：

JOURNAL OF EMPIRICAL FINANCE | 2017年 / 40卷

关键词：

Short sale; Retail trades; Informed trades; Retail order flow; MUTUAL FUND PERFORMANCE; INDIVIDUAL INVESTORS; EARNINGS ANNOUNCEMENTS; STOCK; INFORMATION; MARKETS; CONSTRAINTS; NYSE; TOO;

D O I：

10.1016/j.jempfin.2016.11.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Our study suggests that despite the enforcement of insider trading laws, there are still some investors trading on their private information. Using account-level information, we show that some retail investors seem to be informed about particular stocks. When they sell short these stocks, they earn an alpha of 15%; when they purchase these stocks,, they earn an alpha of 27%. Other short sales and purchases by the same investor do not earn significant alpha. These informed trades are rare and further evidence suggest that these informed retail trades are motivated by private information rather than trading skill.

引用

页码：59 / 72

页数：14

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