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Fool's mate: what does CHESS tell us about individual investor trading performance?

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dc.contributor.authorBradrania, R.
dc.contributor.authorGrant, A.
dc.contributor.authorWesterholm, P.J.
dc.contributor.authorWu, W.
dc.date.issued2017
dc.description.abstractWe 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.
dc.identifier.citationAccounting and Finance, 2017; 57(4):981-1017
dc.identifier.doi10.1111/acfi.12180
dc.identifier.issn1467-629X
dc.identifier.issn1467-629X
dc.identifier.urihttps://hdl.handle.net/11541.2/116611
dc.language.isoen
dc.publisherWiley
dc.relation.fundingAustralia Centre for International Finance and Regulation (CIFR) T008
dc.rightsCopyright 2015 AFAANZ Access Condition Notes: Accepted manuscript is available open access
dc.source.urihttps://doi.org/10.1111/acfi.12180
dc.subjectindividual investors
dc.subjectinstitutional investors
dc.subjectinformation asymmetry
dc.subjectliquidity
dc.titleFool's mate: what does CHESS tell us about individual investor trading performance?
dc.typeJournal article
pubs.publication-statusPublished
ror.fileinfo12213379430001831 13213379420001831 CS fools mate.pdf
ror.mmsid9916006610801831

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