Speculative retail trading and asset prices

Bing Han, Alok Kumar

Research output: Contribution to journalArticlepeer-review

118 Scopus citations


Abstract This paper examines the characteristics and pricing of stocks that are actively traded by speculative retail investors. We find that stocks with high retail trading proportion (RTP) have strong lottery features and they attract retail investors with strong gambling propensity. Furthermore, these stocks tend to be overpriced and earn significantly negative alpha. The average monthly return differential between the extreme RTP quintiles is -0.60%. This negative RTP premium is stronger among stocks that have lottery features or arelocated in regions where people exhibit stronger gambling propensity. Collectively, these results indicate that speculative retail trading affects stock prices.

Original languageEnglish (US)
Pages (from-to)377-404
Number of pages28
JournalJournal of Financial and Quantitative Analysis
Issue number2
StatePublished - Apr 2013

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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