Barber, Brad M.; Odean, Terrance; Zhu, Ning - In: Review of Financial Studies 22 (2009) 1, pp. 151-186
We study the trading of individual investors using transaction data and identifying buyer- or seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When...