Investigating the Nature of Retail Investor Activity

Abstract

We study the nature of retail investor activity and how this differs when looking at pe-riods in connection with quarterly reports and when looking at a special period on the market like Covid-19. Further, we investigate how this differs between S&P500 stocks and meme stocks. We find that retail order imbalances can predict positive future returns for S&P500 stocks and find suggestive evidence that this doesn’t differ significantly for periods in connection with reports. We find that this doesn’t differ significantly during the initial impact of Covid-19. We do however find evidence that retail order imbal-ances predict negative returns for meme stocks, contrary to the behavior exhibited in the S&P500 stocks and in previous literature.