Small Trades and the Cross-Section of Stock Returns

By Soeren Hvidkjaer. 2008

364 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/296ee150d6a3ef40c0a0b9e180a8a0d23f440f6e

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Citations in the corpus

Speculative Retail Trading and Asset Prices (2013, neutral): “…retail trades (e.g., Lee and Radhakrishna (2000), Battalio and Mendenhall (2005), Malmendier and Shanthikumar (2007), Barber et al. (2009), and Hvidkjaer (2008)).5 To ensure that our RTP variable reflects the behavior of retail investors, we compare RTP with actual retail holdings and trading…”
Retail Short Selling and Stock Prices (2016, methodology): “Hvidkjaer (2008) offers a similar interpretation in his study of small trade imbalance.”
The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2010, positive): “, Battalio and Mendenhall 2005; Malmendier and Shanthikumar 2007; Hvidkjaer 2008; Barber, Odean, and Zhu 2009), we use the $5,000 trade size cutoff to identify small trades.4 Like Barber, Odean, and Zhu (2009), we use the ISSM/TAQ data only until 2000 because the assumption that small trades proxy r”
Market-Wide Attention, Trading, and Stock Returns (2015, methodology): “Such results are consistent with the studies of Barber, Odean, and Zhu (2009) and Hvidkjaer (2008), which find that individual-investor trading influences stock returns.”
Liquidity Shocks and Stock Market Reactions (2014, methodology): “To account for the effect of small trade order flows, we follow Hvidkjaer (2008) and construct the signed small-trade turnover (SSTT) variable that is defined as the small-trade buy-initiated turnover minus the small-trade sell-initiated turnover, measured over the past one through 24 months.34 It…”
Retail investor attention and stock price crash risk: Evidence from China (2019, methodology): “Instead, following Lee and Radhakrishna (2000), Hvidkjaer (2008), and Wang et al.”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, neutral): “Hvidkjaer (2008) similarly concludes that while the volume of small trades was negatively related to changes in institutional holdings up to 2002, thereafter the relation turns positive, while concurrently the number of small trades has mushroomed.”
Attracting investor attention through advertising (2014, background): “Odean, and Zhu (2009) and Hvidkjaer (2008)), I label stock trade orders (from TAQ and ISSM)”
Overnight Returns and Firm-Specific Investor Sentiment (2018, neutral): “This suggests temporary mispricing due to the sentiment-driven demand of individual investors and is consistent with the evidence given by Hvidkjaer (2008) and Barber et al. (2009) of long-run underperformance of stocks with strong retail investor demand relative to those with weak retail investor…”