Resolving a Paradox: Retail Trades Positively Predict Returns but Are Not Profitable

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 re...

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Veröffentlicht in:	Journal of financial and quantitative analysis 2024-09, Vol.59 (6), p.2547-2581
Hauptverfasser:	Barber, Brad M., Lin, Shengle, Odean, Terrance
Format:	Artikel
Sprache:	eng
Schlagworte:	Attention Imbalance Investor behavior Money Rates of return Securities trading Stocks
Online-Zugang:	Volltext
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