The Cross-Section of Speculator Skill: Evidence from Day Trading

@article{Barber2012TheCO,
  title={The Cross-Section of Speculator Skill: Evidence from Day Trading},
  author={Brad M. Barber and Yi-Tsung Lee and Yu-Jane Liu and Terrance Odean},
  journal={FEN: Behavioral Finance (Topic)},
  year={2012}
}
Day Trading Profitability across Volatility States
This paper is the first to measure the profitability of day traders across volatility states. We apply a popular day trading strategy, the Opening Range Breakout strategy (ORB), on long time series
The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market
We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their impact on market liquidity and volatility. Our results indicate a tendency
The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange
We examine the effects of margin changes on futures trading activity, the composition of traders, and market liquidity using an account‐level data set from the Taiwan Futures Exchange. We find that
Intraday disposition effect of day traders and its relationship with investment performance: evidence from the KOSPI 200 futures market
  • Yunsung Eom
  • Economics, Business
    Applied Economics Letters
  • 2019
ABSTRACT This paper investigates the intraday disposition effect of day traders and its relationship with investment performance. Using a unique data set from the KOSPI 200 futures market, we find
Overnight Inventory Strategy of Day-Traders: An Empirical Study from the Korea Stock Exchange
Using a unique intraday trade and quote data set of the Korea Stock Exchange which includes customized symbols identifying individual accounts for January 2006 to December 2006, we investigate the
Are Retail Traders Compensated for Providing Liquidity?
This paper examines the extent to which individual investors provide liquidity to the stock market and whether they are compensated for doing so. We show that the ability of aggregate retail order
Day trading returns across volatility states
This paper measures the returns of a popular day trading strategy, the Opening Range Breakout strategy (ORB), across volatility states. We calculate the average daily returns of the ORB strategy for
Firm-specific investor sentiment and daily stock returns
...
...

References

SHOWING 1-10 OF 37 REFERENCES
The Individual Day Trader
This paper shows that individual day traders are reluctant to close losing day trades. They even sell other stocks from their portfolios to finance the unintended purchases. This disposition to ride
The Anatomy of Day Traders
This paper examines the complete trading records of all day traders in Finland. A typical day trader is a male in his late 30s, who lives in the metropolitan area and trades in larger quantities than
The Profitability of Active Stock Traders
Active stock traders, or day traders, who may account for a sizable proportion of US trading volume, hold stocks for only hours or even minutes. Examination of their trading profits reveals that
Do Day Traders Rationally Learn About Their Ability
We analyze the performance of and learning by individual investors who engage in day trading in Taiwan from 1992 to 2006 and test the proposition that individual investors rationally speculate as day
Investor Sentiment and the Cross-Section of Stock Returns
We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly
Determinants of Trading Profits: The Liquidity Provision Decision
Theories show that liquidity provision implies negative contemporaneous correlation between trades and returns. Dealers on the Taiwan Stock Exchange are granted typical dealer trading advantages
Predictable Behavior, Profits, and Attention
Stocks in the Shanghai market that hit upper price limits typically exhibit three characteristics: high returns, high volumes, and news coverage. We show that these price limit events attract
The trading profits of SOES bandits
...
...