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- Title
Fool's mate: What does CHESS tell us about individual investor trading performance?
- Authors
Bradrania, Reza; Grant, Andrew; Westerholm, Peter Joakim; Wu, Wei
- Abstract
We investigate the short-term relation between individual investor trading and stock returns on the Australian Securities Exchange. Stocks heavily bought by individual investors underperform stocks heavily sold over the subsequent three days, with respective returns on to a long-short portfolio of -93, -67 and -12 basis points on days one, two and three. Individuals underperform in small and mid-size stocks when they trade passively using limit orders waiting for the market price to move in their favour. Individuals underperform in large stocks when they trade aggressively using marketable orders. Foreign institutions gain from taking the opposite side of individual trades. We present an information asymmetry-based explanation for the findings.
- Subjects
RATE of return on stocks; SECURITIES trading; STOCKS (Finance); INVESTORS; INSTITUTIONAL investors; INFORMATION asymmetry; LIQUIDITY (Economics); ASX Ltd.
- Publication
Accounting & Finance, 2017, Vol 57, Issue 4, p981
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/acfi.12180