학회소식
[2021년 제 5차] Temporal Trading Patterns of Retail Investors
작성자 : 관리자
조회수 : 136
게시일 :
2021-11-15
In the era of growing transaction volume and higher frequency of retail trading activities,
we identify novel trading dynamics in retail investors. We fi
nd significant heterogeneity
in dynamic trading behavior of retail investors; while some investors cross-sectionally
diversify their portfolio and hold, others retain a small cluster of stocks, and trade them
dynamically in a clumpy manner. Our analyses indicate that clumpy traders realize gains
and losses quickly, whereby large gain realizations are asymmetrically more likely than
small loss realizations. As a result, these types of traders tend to be more profitable than
static buy-and-hold investors with the well-diversified portfolios. Within clumpy trades,
we find that females earn higher returns than males. We further discuss how asymmetric
gain versus loss realizations by clumpy traders could magnify the disposition effect, which
is traditionally measured at the aggregate portfolio level.
