This study uses a unique dataset from a large anonymous brokerage firm to examine the net investment of individual investors during a bear market. The study's empirical evidence reveals that individual investors provide liquidity by acting as net buyers. Particularly, male and younger investors tend to have a higher buying intensity than the others during the market downturn. Besides, better performances when the market crashed encourage investors to be overconfident, thus exhibiting self-attribution bias since we do not find similar results in the bull-market subsample. Results from the stock-level analysis imply that investors tend to buy stocks with worse short-term past performance, higher liquidity, and larger market capitalization. Our findings on the individual investor trading behaviour cannot be explained by either a superior stock-picking ability or a higher tendency to gamble during the market downswing.

本研究使用来自一家大型匿名经纪公司的独特数据集来检验个人投资者在熊市期间的净投资。该研究的实证证据表明，个人投资者通过充当净买家来提供流动性。特别是，在市场低迷时期，男性和年轻投资者的购买强度往往高于其他人。此外，市场崩盘时更好的表现鼓励投资者过度自信，从而表现出自我归因偏差，因为我们在牛市子样本中没有发现类似的结果。股票层面的分析结果表明，投资者倾向于购买短期过去表现较差、流动性较高和市值较大的股票。