Speculative Retail Trading and Asset Prices

Journal of Financial and Quantitative Analysis - Tập 48 Số 2 - Trang 377-404 - 2013
Bing Han1, Alok Kumar2
1[email protected], Rotman School of Management, University of Toronto, 105 St. George St, Toronto, ON M5S 3E6, Canada, and University of Texas at Austin
2[email protected], School of Business Administration, University of Miami, 514 Jenkins Building, Coral Gables, FL 33124.

Tóm tắt

AbstractThis paper examines the characteristics and pricing of stocks that are actively traded by speculative retail investors. We find that stocks with high retail trading proportion (RTP) have strong lottery features and they attract retail investors with strong gambling propensity. Furthermore, these stocks tend to be overpriced and earn significantly negative alpha. The average monthly return differential between the extreme RTP quintiles is −0.60%. This negative RTP premium is stronger among stocks that have lottery features or arelocated in regions where people exhibit stronger gambling propensity. Collectively, these results indicate that speculative retail trading affects stock prices.

Từ khóa


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Thông tin
Thông tin xuất bản

Journal of Financial and Quantitative Analysis

Tập 48 Số 2

377-404

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