Systematic Noise
Several authors have suggested that the biases and sentiment of individual investors affect asset prices. For this to be true, the preference for buying some stocks while selling others must be shared by individual investors; we find this to be the case. We analyze trading records for 66,465 households at a large national discount broker between January 1991 and November 1996 and 665,533 investors at a large retail broker between January 1997 and June 1999. Using a variety of empirical approaches, we document that the trading of individuals is more coordinated than one would expect by mere chance. For example, if individual investors are net buyers of a stock this month, they are likely to be net buyers of the stock next month. In additional analyses, we present four stylized facts about the trading of individual investors: (1) they buy stocks with strong past returns; (2) they also sell stocks with strong past returns, though this relation is stronger than that for buys at short horizons (one to two quarters), but weaker at long horizons (up to 12 quarters); (3) their buying is more concentrated in fewer stocks than selling; and (4) they are net buyers of stocks with unusually high trading volume. We argue that a combination of the disposition effect, the representativeness heuristic, and limited attention are the most plausible drivers of the coordinated trading that we.
Brad M. Barber Terrance Odean Ning Zhu
Graduate School of Management University of California, Davis Davis, CA 95616 Haas School of Business University of California, Berkeley Berkeley, CA 94720 School of Management Yale University 135 Prospect Street, Box 208200 New Haven, CT 06520
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）