【本期主题】TRACKING RETAIL INVESTOR ACTIVITY

We provide an easy way to use recent, publicly available U.S. equity transactions data to identify retail purchases and sales. Based on retail order imbalances, we find that retail investors are informed at horizons up to 12 weeks. Individual stocks with net buying by retail investors outperform stocks with negative imbalances; the magnitude is approximately 10 basis points over the following week, or 5% annualized. Retail investors are better informed in smaller stocks with lower share prices. They do not, however, exhibit any market timing ability.

【报告人】 Xiaoyan Zhang       Purdue University

【时   间】12月16日         上午10:00

【地   点】明德主楼509室

如果您有兴趣，请于12月16日前回复邮件rucfinanceforum@gmail.com或电话联系，我们将为您预留座位。联系人：冯建彪   82509260。诚邀您参加。

报告人简介：

Professor Xiaoyan Zhang is the Duke Realty Chair Professor of Finance with tenure at the Krannert School of Management, Purdue University. Prior to joining the Krannert faculty, Professor Zhang was Assistant Professor of Finance at the Johnson School of Management at Cornell University (2002-2010). She received her Ph.D. in Finance (with honor) from Columbia Business School in 2002 and B.A. in Economics from Beijing University in 1997.

Professor Zhang’s research focuses on international finance, empirical asset pricing and applied econometrics. Her work has appeared in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis and other leading finance journals. Her article, “The Cross-Section of Volatility and Expected Returns” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), was announced one of the top 10 cited papers published in Journal of Finance since 2000. Her article, “Which Shorts Are Informed”, (with Ekkehart Boehmer and Charles Jones), won the BSI Gamma Foundation Award (2005). Professor Zhang has won Best Paper Award at the 16th Mitsui Finance Symposium (2009) at the University of Michigan. Her research on international finance and asset management has received awards from the European Central Bank and the Q Group Research Fund.

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