Individual Investor Trading and Stock Returns

By Ron Kaniel, Gideon Saar, Sheridan Titman. 2008

924 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/ad97252ee5201c38b369434bc98479854a41dd22

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Ekkehart Boehmer
2. Alok Kumar
3. Byoung-Hyoun Hwang
4. Ron Kaniel
5. Juhani T. Linnainmaa
6. Charles M. Jones
7. Xiaoyan Zhang
8. David Sraer

In Finance

1. Alok Kumar
2. Ekkehart Boehmer
3. David A. Hirshleifer
4. Nicholas Barberis
5. Charles M. Jones
6. Avanidhar Subrahmanyam
7. Byoung-Hyoun Hwang
8. Juhani T. Linnainmaa

Citations in the corpus

• Correlated Trading and Returns (2008, neutral): “…bias - mean 1.79% 1.60% 2.27% LSV bias - SD 0.16% 0.20% 0.19% Alternatively, the observed comovement could be a by-product of other traders picking off the sample investors’ limit orders, that is, the sample investors might be providing liquidity to the market (see Kaniel et al. (2008)).”
• Individual Investors and Local Bias (2010, neutral): “Kaniel, Saar, and Titman (2008) study trades by individual investors on the New York Stock Exchange (NYSE).”
• Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, neutral): “…sentiment in cross-sectional returns include Baker and Wurgler (2006, 2007), Lemmon and Portniaguina (2006), Bergman and Roychowdhury (2008), Kaniel, Saar, and Titman (2008), Frazzini and Lamont (2008), Livnat and Petrovic (2008), Antoniou, Doukas, and Subrahmanyam (2012), Baker, Wurgler,…”
• Tracking Retail Investor Activity (2020, methodology): “Second, as in Kaniel, Saar, and Titman (2008), these retail traders are contrarian at weekly horizons, and since their contrarian trading provides liquidity to the market, their trades might positively predict future returns.”
• What Matters to Individual Investors? Evidence from the Horse's Mouth (2018, neutral): “…momentum—consistent with the empirical fact that individuals are net sellers of stocks with high returns over the past quarter and net buyers of stocks with more distant high past returns (Grinblatt and Keloharju (2000, 2001), Griffin et al. (2003), Kaniel et al. (2008), Barber et al. (2009)).”
• Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks (2010, background): “For instance, Kaniel et al. (2008) show that individuals tend to buy NYSE stocks (inferring institutional selling) following declines in the previous month.”