Systematic noise

被引：235

作者：

Barber, Brad M. ^{[2
]}

Odean, Terrance ^{[1
]}

Zhu, Ning ^{[2
]}

机构：

[1] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

[2] Univ Calif Davis, Grad Sch Management, Davis, CA 95616 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2009年 / 12卷 / 04期

基金：

美国国家科学基金会;

关键词：

Individual investors; Market efficiency; Herding; INDIVIDUAL INVESTORS; STOCK-PRICES; BEHAVIOR; MARKET; TRADE; DISPOSITION; INVESTMENT; DIVERSIFICATION; PERFORMANCE; STRATEGIES;

D O I：

10.1016/j.finmar.2009.03.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze trading records for 66,465 households at a large discount broker and 665,533 investors at a large retail broker to document that the trading of individuals is highly correlated and persistent. This systematic trading of individual investors is not primarily driven by passive reactions to institutional herding, by systematic changes in risk-aversion, or by taxes. Psychological biases likely contribute to the correlated trading of individuals. These biases lead investors to systematically buy stocks with strong recent performance, to refrain from selling stocks held for a loss, and to be net buyers of stocks with unusually high trading volume. (C) 2009 Published by Elsevier B.V.

引用

页码：547 / 569

页数：23

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