Informed retail investors: Evidence from retail short sales

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• 作者：Keith Jacks Gamble^a ; Wei Xu^b ; ^{weixu@phbs.pku.edu.cn}
• 关键词：Short sale ; Retail trades ; Informed trades ; Retail order flow
• 刊名：Journal of Empirical Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：40
• 期：Complete
• 页码：59-72
• 全文大小：268 K
• 卷排序：40

文摘

Added more descriptive analysis on the actual return and profits of different types of trades. Made new analysis on trading intensity on the performance of trades. Made new analysis on using holding period as an additional criterion for informed trade. Discussed the implication of our result on return predictability and market efficiency.