Table 6 Effect of the trading of retail...

Table 6

Effect of the trading of retail investors

Panel A: Level of RTP
	1 (Low)	2	3	4	5 (High)	High-Low
RTP	0.30***	0.39***	0.48***	0.58***	0.75***	0.45***
RTP	(21.05)	(19.25)	(20.36)	(23.90)	(34.41)	(23.52)

Panel A: Level of RTP
RTP	0.30***	0.39***	0.48***	0.58***	0.75***	0.45***
(21.05)	(19.25)	(20.36)	(23.90)	(34.41)	(23.52)

Panel B: Double-sorted portfolios
	RTP1	RTP2	RTP3	RTP4	RTP5
1 (Low)	0.59	0.81*	0.94	1.16**	1.36**
1 (Low)	(1.41)	(1.66)	(1.46)	(2.41)	(2.57)
2	1.05*	0.80	0.91	1.82**	1.34***
2	(1.93)	(1.58)	(1.54)	(2.13)	(2.61)
3	0.79	0.96	0.41	0.65	0.95
3	(1.45)	(1.58)	(0.66)	(0.89)	(1.62)
4	0.80	0.63	0.38	0.17	1.55**
4	(1.33)	(0.98)	(0.60)	(0.28)	(2.23)
5 (High)	−0.58	−0.38	0.26	−1.02	−0.95*
5 (High)	(−0.52)	(−0.51)	(0.41)	(−1.58)	(−1.74)
High-Low	−1.06	−1.19**	−0.68	−2.18***	−2.32***
High-Low	(−0.94)	(−2.17)	(−0.94)	(−3.82)	(−4.32)
CAPM-alpha	−1.08	−1.41***	−1.05	−2.38***	−2.50***
CAPM-alpha	(−1.00)	(−2.61)	(−1.35)	(−4.12)	(−4.50)
FF3-alpha	−1.16	−1.19**	−0.35	−2.37***	−2.24***
FF3-alpha	(−0.96)	(−2.01)	(−0.52)	(−3.63)	(−4.10)

Panel B: Double-sorted portfolios
	RTP1	RTP2	RTP3	RTP4	RTP5
1 (Low)	0.59	0.81*	0.94	1.16**	1.36**
1 (Low)	(1.41)	(1.66)	(1.46)	(2.41)	(2.57)
2	1.05*	0.80	0.91	1.82**	1.34***
2	(1.93)	(1.58)	(1.54)	(2.13)	(2.61)
3	0.79	0.96	0.41	0.65	0.95
3	(1.45)	(1.58)	(0.66)	(0.89)	(1.62)
4	0.80	0.63	0.38	0.17	1.55**
4	(1.33)	(0.98)	(0.60)	(0.28)	(2.23)
5 (High)	−0.58	−0.38	0.26	−1.02	−0.95*
5 (High)	(−0.52)	(−0.51)	(0.41)	(−1.58)	(−1.74)
High-Low	−1.06	−1.19**	−0.68	−2.18***	−2.32***
High-Low	(−0.94)	(−2.17)	(−0.94)	(−3.82)	(−4.32)
CAPM-alpha	−1.08	−1.41***	−1.05	−2.38***	−2.50***
CAPM-alpha	(−1.00)	(−2.61)	(−1.35)	(−4.12)	(−4.50)
FF3-alpha	−1.16	−1.19**	−0.35	−2.37***	−2.24***
FF3-alpha	(−0.96)	(−2.01)	(−0.52)	(−3.63)	(−4.10)

Note(s): We define retail trading proportion (RTP) as the ratio of individuals' trading dollar volume to the total trading dollar volume, following the approach of Han and Kumar (2013). The RTP was computed for each stock on a monthly basis by accumulating the daily volumes. Panel A shows the RTP levels for the quintile portfolios sorted by RTP. In Panel B, the value-weighted returns for the 25 portfolios are computed by sorting stocks based on the RTP and the PC1 of left-tail risk measures. The t-statistics are shown in parentheses. ***, ** and * indicate the 1%, 5% and 10% statistical significance, respectively

Source(s): Created by authors

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