| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10820 |
| DP10820 Are retail traders compensated for providing liquidity? | |
| David Sraer; Ron Kaniel; Jean-Noel Barrot | |
| 发表日期 | 2015-09-13 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper examines the extent to which individual investors provide liquidity to the stock market and whether they are compensated for doing so. We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions decline. While a weekly rebalanced portfolio long in stocks purchased and short in stocks sold by retail investors delivers 19% annualized excess returns over a four-factor model from 2002 to 2010, it delivers up to 40% annualized returns in periods of high uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision because they experience a negative return on the day of their trade and they reverse their trades long after the excess returns from liquidity provision are dissipated. During the financial crisis, French active retail stock traders stepped up to the plate, increased stock holdings, and provided liquidity. In contrast, mutual fund investors fled from delegation by selling their mutual funds. |
| 主题 | Financial Economics |
| 关键词 | Liquidity Retail investors Crisis |
| URL | https://cepr.org/publications/dp10820 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539649 |
| 推荐引用方式 GB/T 7714 | David Sraer,Ron Kaniel,Jean-Noel Barrot. DP10820 Are retail traders compensated for providing liquidity?. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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