2024/02/12 by Charles M. Jones, Donghui Shi, Xiaoyan Zhang +1 · 107 citations
Economics, Econometrics and Finance · Mathematics · #Business #China #Economics #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Geography #Insurance and Financial Risk Management #Mathematics #Predictability #Statistics
paper · doi:10.1017/s0022109024000085
published in Journal of Financial and Quantitative Analysis 60(1), 68-104 (Cambridge University Press)
openalex publication_date 2024/02/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Abstract Using comprehensive account-level data, we separate Chinese retail investors into 5 groups and document strong heterogeneity in trading dynamics and performances. Retail investors with smaller account sizes cannot predict future returns correctly, display daily momentum patterns, fail to process public news, and show overconfidence and gambling preferences, while retail investors with larger account balances predict future returns correctly, display contrarian patterns, and incorporate public news in trading. Using performance measures established in previous literature, we find that smaller retail investors suffer from poor stock selection abilities and trading costs, while large retail investors’ stock selection abilities are offset by trading costs.