We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment. There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm-level information that is not yet incorporated into prices.

中文翻译：

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追踪散户投资者活动

我们提供了一种简单的方法来使用最近公开的美国股票交易数据来识别可销售的零售买卖。在接下来的一周内，散户净买入的个股比负失衡的股票高出约 10 个基点。可销售零售订单失衡的预测能力不到一半可归因于订单流的持续性，而其余部分则无法用逆向交易（流动性提供的代理）或公共新闻情绪来解释。有暗示性但仅是暗示性的证据表明，零售适销订单可能包含尚未纳入价格的公司级信息。