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

David Ardia, Clément Aymard, Tolga Cenesizoglu

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 analysi…