Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions

David Ardia, Cl\'ement Aymard and Tolga Cenesizoglu

Papers from arXiv.org

Abstract: We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate their 2010-2015 analysis in the more recent 2016-2021 period. We find that the ROI's predictive power weakens significantly. Specifically, past ROI can no longer predict weekly returns on large-cap stocks, and the long-short strategy based on past ROI is no longer profitable. Second, we analyze the effect of using the alternative quote midpoint (QMP) method to identify and sign retail trades on their main conclusions. While the results based on the QMP method align with BJZZ's findings in 2010-2015, the two methods provide different conclusions in 2016-2021. Our study shows that BJZZ's original findings are sensitive to the sample period and the approach to identify ROIs.

Date: 2024-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2403.17095 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2403.17095

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().