2 papers
q-fin.TR2024
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…
q-fin.TR2023
Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior
David Ardia, Clément Aymard, Tolga Cenesizoglu
We analyze Robinhood (RH) investors' trading reactions to intraday hourly and overnight price changes. Contrasting with recent studies focusing on daily behaviors, we find that RH…