We document asymmetric pricing effects between the aggregate retail selling orders and aggregate retail buying orders. The long short hedge portfolio based on retail selling orders generates about 10 bps abnormal return each day, i.e., 2% each month. However, the retail buying orders cannot predict the cross-sectional stock returns. Stocks with intensive retail selling orders continue to receive excess retail selling pressure and are associated with drying-up liquidity. The pricing effect of retail selling orders becomes stronger when the VIX is high and when market is bearish, but disappears on Fridays when the investor mood is high. We conjecture that the asymmetric attention allocation in buying and selling decisions and the asymmetric emotional impact of fear and greed together drive this asymmetric pricing effect between retail selling activities and retail buying activities.

JEL Classification: D91, G14, G41
Keywords: Retail Investor; Limited Attention; Heuristics; Behavioral Finance; Fear and Greed