In search of retail investors: The effect of retail investor attention on odd lot trades |
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Institution: | 1. College of Management and Economics, Tianjin University, No. 92 Weijin Road, Nankai District, Tianjin 300072, China;2. China Centre for Social Computing and Analytics, Tianjin 300072, China |
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Abstract: | We study the effect of retail investor attention on odd lot trading. We observe that increases in abnormal Google search volume predict odd-lot trading. Importantly, this relationship is share price-sensitive: For stocks priced below $11, an increase in abnormal search volume leads to less odd lot trading. For stocks priced above $46, on the other hand, an increase in abnormal search volume leads to more odd lot trading. For a stock priced at $78 – the mean share price in our sample – a one standard deviation increase of abnormal search volume increases the average share of odd lot trading by 10 basis points. This effect is even stronger for more expensive stocks. Our results are consistent with attention-induced trading when investors face wealth constraints and are robust to alternative channels including news and institutional investor attention. |
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Keywords: | Odd lot trades Market microstructure Institutional investor attention Retail investor attention Bloomberg reading activity Google search volume |
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