A logit model of retail investors' individual trading decisions and their relations to insider trades
作者： Olaf Stotz , Dominik Georgi
DOI: 10.1016/J.RFE.2012.04.001
关键词:
摘要: Among the various external information sources that influence individual investors' trading decisions, no research has considered important of insiders' transactions. Retail investors might copy behavior demonstrated by trading; therefore, this study establishes an approach to estimate buying probability for a certain stock investor at point in time and analyzes whether insider trade reports probability. Using sample more than 270,000 retail trades Germany between 2008 2009, along with 3000 same period, we find evidence copying investors. The basic mimicry hypothesis holds, even when consider event attention effect as alternative explanations. A robustness test also supports findings.
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