| Title | The cross-section of speculator skill: Evidence from day trading |
| Authors | Barber, Brad M. Lee, Yi-Tsung Liu, Yu-Jane Odean, Terrance |
| Affiliation | Univ Calif Davis, Grad Sch Management, Davis, CA 95616 USA. Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China. Peking Univ, Guanghua Sch Management, Dept Finance, Beijing 100871, Peoples R China. Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94704 USA. |
| Keywords | Speculative trading Day traders Individual investors Investor performance INDIVIDUAL INVESTORS PERFORMANCE PROFITS |
| Issue Date | 2014 |
| Publisher | journal of financial markets |
| Citation | JOURNAL OF FINANCIAL MARKETS.2014,18,1-24. |
| Abstract | We document economically large cross-sectional differences in the before- and after-fee returns earned by speculative traders by analyzing day traders in Taiwan from 1992 to 2006. We sort day traders based on their returns in year y and analyze their performance in year y+1; the 500 top-ranked day traders go on to earn daily before-fee (after-fee) returns of 61.3 (37.9) bps per day; bottom-ranked day traders go on to earn daily before-fee (after-fee) returns of -11.5 (-28.9) bps per day. Less than 1% of the day trader population is able to predictably and reliably earn positive abnormal returns net of fees. (C) 2013 Elsevier B.V. All rights reserved. |
| URI | http://hdl.handle.net/20.500.11897/260380 |
| ISSN | 1386-4181 |
| DOI | 10.1016/j.finmar.2013.05.006 |
| Indexed | SSCI |
| Appears in Collections: | 光华管理学院 |
