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A (Sub)penny for Your Thoughts : Tracking Retail Investor Activity in TAQ

Brad M. Barber - ; Xing Huang - ; Terrance Odean - ; Christopher Schwarz - ; Philippe Jorion - ;

We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect identification rates but reduces the signing error rates to 5% and provides informative order imbalance measures for all stocks.


Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir (Koleksi Majalah)1
PenerbitUSA: The American Finance Association 2024
EdisiVolume 79, Issue 4, August 2024, Pages 2403-2427
SubjekRetail trade
Stocks
Algorithms
Securities and Exchange Commission
ISBN/ISSN1540-6261
KlasifikasiNONE
Deskripsi Fisikill, chart, table, grafik, 508 hal, 20 cm
Info Detail SpesifikThe Journal of Finance
Other Version/RelatedTidak tersedia versi lain
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