Prior gains and subsequent trade size: The moderating role of news announcements
Prior gains and subsequent trade size: The moderating role of news announcements
We examine an dataset of 285,725 trades of 4,857 retail traders from 2004 to 2013, matched to a news archive of over 20 million news items. We find that individuals increase trade size following prior gains, but the magnitude of the increase depends on news sentiment - amplified/reduced by the news sentiment that was consistent/inconsistent with the prior gain-generating decisions. The findings suggest that individual traders may respond differently to the same piece of news depending upon the relationship between the news sentiment and their prior gains (i.e. consistent or not), thus providing individual-level evidence for models based on heterogeneous beliefs of investors.
Behavioral operations, Decision analysis, Risk analysis
He, He
299f30cf-27cc-41bc-9bba-2d88637963f8
Ma, Tiejun
1f591849-f17c-4209-9f42-e6587b499bae
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie E.V.
674f4c91-b889-4566-82cd-c0a33b4beaac
He, He
299f30cf-27cc-41bc-9bba-2d88637963f8
Ma, Tiejun
1f591849-f17c-4209-9f42-e6587b499bae
Sung, Ming-Chien
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie E.V.
674f4c91-b889-4566-82cd-c0a33b4beaac
He, He, Ma, Tiejun, Sung, Ming-Chien and Johnson, Johnnie E.V.
(2021)
Prior gains and subsequent trade size: The moderating role of news announcements.
2021 INFORMS Annual Meeting, Anaheim, United States.
24 - 27 Oct 2021.
(In Press)
Record type:
Conference or Workshop Item
(Other)
Abstract
We examine an dataset of 285,725 trades of 4,857 retail traders from 2004 to 2013, matched to a news archive of over 20 million news items. We find that individuals increase trade size following prior gains, but the magnitude of the increase depends on news sentiment - amplified/reduced by the news sentiment that was consistent/inconsistent with the prior gain-generating decisions. The findings suggest that individual traders may respond differently to the same piece of news depending upon the relationship between the news sentiment and their prior gains (i.e. consistent or not), thus providing individual-level evidence for models based on heterogeneous beliefs of investors.
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Accepted/In Press date: 2021
Venue - Dates:
2021 INFORMS Annual Meeting, Anaheim, United States, 2021-10-24 - 2021-10-27
Keywords:
Behavioral operations, Decision analysis, Risk analysis
Identifiers
Local EPrints ID: 450080
URI: http://eprints.soton.ac.uk/id/eprint/450080
PURE UUID: a7df2ef2-2f0e-4db8-ae3a-27669ba6df44
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Date deposited: 08 Jul 2021 16:32
Last modified: 23 Feb 2023 03:11
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Contributors
Author:
Johnnie E.V. Johnson
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