The Effect of Investor Category Trading Imbalances on Stock Returns

Calwell, D; Henker, J; Walter, TS

The Effect of Investor Category Trading Imbalances on Stock Returns

Calwell, D Henker, J Walter, TS

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Publisher:: Blackwell
Publication Type:: Journal Article
Citation:: International Review of Finance, 2008, 8 (3-4), pp. 179 - 206
Issue Date:: 2008-01

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Field	Value	Language
dc.contributor.author	Calwell, D	en_US
dc.contributor.author	Henker, J	en_US
dc.contributor.author	Walter, TS	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	International Review of Finance, 2008, 8 (3-4), pp. 179 - 206	en_US
dc.identifier.issn	1369-412X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/12885
dc.description.abstract	Trading is the mechanism of the economist's `invisible hand,' the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not contradict the behavioral finance assumption that the trading of individual investors contributes to price discovery. Furthermore, we find that, while the trading of all investor categories Granger-causes returns, returns Granger-cause trading only for the individual investor category. That is, in the short term of up to 1 month, only individual investors engage in feedback trading.	en_US
dc.publisher	Blackwell	en_US
dc.relation.ispartof	International Review of Finance	en_US
dc.relation.isbasedon	10.1016/j.irfa.2010.08.002	en_US
dc.title	The Effect of Investor Category Trading Imbalances on Stock Returns	en_US
dc.type	Journal Article
utslib.citation.volume	3-4	en_US
utslib.citation.volume	8	en_US
utslib.for	150201 Finance	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	3-4	en_US
pubs.volume	8	en_US

Abstract:

Trading is the mechanism of the economist's `invisible hand,' the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not contradict the behavioral finance assumption that the trading of individual investors contributes to price discovery. Furthermore, we find that, while the trading of all investor categories Granger-causes returns, returns Granger-cause trading only for the individual investor category. That is, in the short term of up to 1 month, only individual investors engage in feedback trading.

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http://hdl.handle.net/10453/12885