Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/306036 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 44 [Issue:] 9 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2024 [Pages:] 1487-1507
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
We analyze retail order flow in terms of intraday feedback trading patterns. Using a unique data set of exchange trades and high‐frequency quotes, we first provide evidence that retail investors actively and consciously respond to short‐term intraday returns in a negative feedback, contrarian fashion. Second, we show that some retail investors also feedback trade on tick‐by‐tick returns. Third, we find that on average this behavior leads to significant losses on the day they open a position. These losses are primarily due to the bid‐ask spread and to investors' timing inability, but not to market makers taking advantage of investors.
Schlagwörter: 
feedback trading
intraday
investor returns
issuer pricing strategies
retail derivatives
retail investors
warrants
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Dokumentart: 
Article
Dokumentversion: 
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