Prior gains and subsequent trade size: The moderating role of news announcements

He He; Tiejun Ma; Ming-Chien Sung; Johnnie E.V. Johnson

Abstract / Description of output

We examine an dataset of 285,725 trades of 4,857 retail traders from 2004 to 2013, matched to a news archive of over 20 million news items. We find that individuals increase trade size following prior gains, but the magnitude of the increase depends on news sentiment - amplified/reduced by the news sentiment that was consistent/inconsistent with the prior gain-generating decisions. The findings suggest that individual traders may respond differently to the same piece of news depending upon the relationship between the news sentiment and their prior gains (i.e. consistent or not), thus providing individual-level evidence for models based on heterogeneous beliefs of investors.

Original language	English
Publication status	Published - 24 Oct 2021
Event	2021 INFORMS Annual Meeting - In Person & Virtual, Anaheim, United States Duration: 24 Oct 2021 → 27 Oct 2021 https://meetings2.informs.org/wordpress/anaheim2021/

Conference

Conference	2021 INFORMS Annual Meeting
Country/Territory	United States
City	Anaheim
Period	24/10/21 → 27/10/21
Internet address	https://meetings2.informs.org/wordpress/anaheim2021/

Keywords / Materials (for Non-textual outputs)

Behavioral operations
Decision analysis
Risk analysis

Cite this

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title = "Prior gains and subsequent trade size: The moderating role of news announcements",

abstract = "We examine an dataset of 285,725 trades of 4,857 retail traders from 2004 to 2013, matched to a news archive of over 20 million news items. We find that individuals increase trade size following prior gains, but the magnitude of the increase depends on news sentiment - amplified/reduced by the news sentiment that was consistent/inconsistent with the prior gain-generating decisions. The findings suggest that individual traders may respond differently to the same piece of news depending upon the relationship between the news sentiment and their prior gains (i.e. consistent or not), thus providing individual-level evidence for models based on heterogeneous beliefs of investors.",

keywords = "Behavioral operations, Decision analysis, Risk analysis",

author = "He He and Tiejun Ma and Ming-Chien Sung and Johnson, {Johnnie E.V.}",

year = "2021",

month = oct,

day = "24",

language = "English",

note = "2021 INFORMS Annual Meeting ; Conference date: 24-10-2021 Through 27-10-2021",

url = "https://meetings2.informs.org/wordpress/anaheim2021/",

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TY - CONF

T1 - Prior gains and subsequent trade size: The moderating role of news announcements

AU - He, He

AU - Ma, Tiejun

AU - Sung, Ming-Chien

AU - Johnson, Johnnie E.V.

PY - 2021/10/24

Y1 - 2021/10/24

N2 - We examine an dataset of 285,725 trades of 4,857 retail traders from 2004 to 2013, matched to a news archive of over 20 million news items. We find that individuals increase trade size following prior gains, but the magnitude of the increase depends on news sentiment - amplified/reduced by the news sentiment that was consistent/inconsistent with the prior gain-generating decisions. The findings suggest that individual traders may respond differently to the same piece of news depending upon the relationship between the news sentiment and their prior gains (i.e. consistent or not), thus providing individual-level evidence for models based on heterogeneous beliefs of investors.

AB - We examine an dataset of 285,725 trades of 4,857 retail traders from 2004 to 2013, matched to a news archive of over 20 million news items. We find that individuals increase trade size following prior gains, but the magnitude of the increase depends on news sentiment - amplified/reduced by the news sentiment that was consistent/inconsistent with the prior gain-generating decisions. The findings suggest that individual traders may respond differently to the same piece of news depending upon the relationship between the news sentiment and their prior gains (i.e. consistent or not), thus providing individual-level evidence for models based on heterogeneous beliefs of investors.

KW - Behavioral operations

KW - Decision analysis

KW - Risk analysis

M3 - Abstract

T2 - 2021 INFORMS Annual Meeting

Y2 - 24 October 2021 through 27 October 2021

ER -

Prior gains and subsequent trade size: The moderating role of news announcements

Abstract / Description of output

Conference

Keywords / Materials (for Non-textual outputs)

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