Table A1 Effect of the trading of retail...

Table A1

Effect of the trading of retail investors (robustness check)

	RTP1	RTP2	RTP3	RTP4	RTP5
Panel A: VAR1
1 (Low)	0.53	0.74	0.84*	1.14**	1.27***
1 (Low)	(1.30)	(1.49)	(1.71)	(2.47)	(2.61)
2	0.82*	0.82	1.04	1.39	1.43**
2	(1.68)	(1.49)	(1.55)	(1.64)	(2.40)
3	1.28**	0.80	0.62	0.61	0.86
3	(2.09)	(1.42)	(0.93)	(0.96)	(1.58)
4	0.69	0.50	0.40	0.42	1.50**
4	(1.12)	(0.71)	(0.69)	(0.73)	(2.00)
5 (High)	−0.39	0.46	0.11	−1.17	−0.98*
5 (High)	(−0.51)	(0.54)	(0.17)	(−1.56)	(−1.78)
High-Low	−0.76	−0.26	−0.73	−2.31***	−2.22***
High-Low	(−1.11)	(−0.44)	(−1.19)	(−3.51)	(−4.55)
CAPM-alpha	−0.85	−0.59	−1.03*	−2.57***	−2.47***
CAPM-alpha	(−1.35)	(−1.14)	(−1.65)	(−3.92)	(−4.79)
FF3-alpha	−1.05	−0.75	−0.53	−2.50***	−2.04***
FF3-alpha	(−1.31)	(−1.22)	(−0.89)	(−3.54)	(−3.67)
Panel B: VAR5
1 (Low)	0.59	0.83	1.06**	1.23**	1.37***
1 (Low)	(1.46)	(1.61)	(2.11)	(2.50)	(2.83)
2	0.80	0.77	0.76	1.65**	0.95
2	(1.64)	(1.39)	(1.28)	(2.07)	(1.50)
3	1.07**	1.13*	0.70	0.64	1.80***
3	(2.08)	(1.84)	(1.12)	(1.02)	(2.63)
4	0.63	0.43	0.46	0.33	0.76
4	(0.95)	(0.69)	(0.73)	(0.48)	(1.30)
5 (High)	−0.61	0.53	0.23	−1.24**	−1.00*
5 (High)	(−0.64)	(0.72)	(0.36)	(−2.13)	(−1.75)
High-Low	−1.13	−0.30	−0.83	−2.47***	−2.37***
High-Low	(−1.21)	(−0.60)	(−1.63)	(−5.20)	(−5.07)
CAPM-alpha	−1.16	−0.65	−1.27**	−2.70***	−2.58***
CAPM-alpha	(−1.29)	(−1.31)	(−2.42)	(−5.52)	(−5.13)
FF3-alpha	−1.23	−0.37	−0.82	−2.67***	−2.51***
FF3-alpha	(−1.13)	(−0.82)	(−1.64)	(−5.19)	(−4.81)
Panel C: ES1
1 (Low)	0.51	0.88*	0.85	1.21**	1.17**
1 (Low)	(1.24)	(1.76)	(1.53)	(2.42)	(2.01)
2	0.94*	0.57	1.10*	1.25	1.38***
2	(1.75)	(1.11)	(1.67)	(1.29)	(2.87)
3	1.05*	0.92	0.55	0.48	0.84
3	(1.79)	(1.53)	(0.83)	(0.78)	(1.45)
4	0.61	0.51	0.16	0.32	1.33*
4	(0.87)	(0.79)	(0.26)	(0.53)	(1.95)
5 (High)	0.02	0.05	0.41	−1.10	−0.84
5 (High)	(0.03)	(0.06)	(0.64)	(−1.46)	(−1.47)
High-Low	−0.52	−0.83	−0.43	−2.30***	−2.02***
High-Low	(−0.77)	(−1.51)	(−0.72)	(−3.42)	(−3.68)
CAPM-alpha	−0.59	−1.13**	−0.74	−2.55***	−2.23***
CAPM-alpha	(−0.92)	(−2.29)	(−1.18)	(−3.69)	(−3.94)
FF3-alpha	−0.99	−1.35**	−0.32	−2.47***	−1.85***
FF3-alpha	(−1.29)	(−2.14)	(−0.54)	(−3.37)	(−3.40)
Panel D: ES5
1 (Low)	0.57	0.75	0.66	1.31***	1.39***
1 (Low)	(1.38)	(1.50)	(1.33)	(2.83)	(2.75)
2	0.95*	1.04*	1.00	1.78**	1.37***
2	(1.83)	(1.85)	(1.58)	(2.13)	(2.78)
3	0.83	0.85	0.53	0.40	1.09*
3	(1.43)	(1.34)	(0.87)	(0.56)	(1.81)
4	0.97*	0.62	0.31	0.31	1.13
4	(1.69)	(1.07)	(0.51)	(0.50)	(1.63)
5 (High)	−0.66	−0.02	0.51	−1.08*	−0.84
5 (High)	(−0.59)	(−0.03)	(0.73)	(−1.73)	(−1.50)
High-Low	−1.07	−0.80*	−0.16	−2.40***	−2.29***
High-Low	(−0.99)	(−1.74)	(−0.27)	(−4.13)	(−4.61)
CAPM-alpha	−1.12	−1.05**	−0.54	−2.62***	−2.47***
CAPM-alpha	(−1.07)	(−2.31)	(−0.89)	(−4.39)	(−4.63)
FF3-alpha	−1.27	−0.82*	−0.03	−2.52***	−2.19***
FF3-alpha	(−1.10)	(−1.66)	(−0.05)	(−3.84)	(−3.75)
Panel E: SEMI-V
1 (Low)	0.58	0.81*	0.86	1.06**	1.48**
1 (Low)	(1.37)	(1.68)	(1.51)	(2.08)	(2.37)
2	0.72	0.83	0.91	1.29	1.53***
2	(1.40)	(1.61)	(1.47)	(1.46)	(2.75)
3	1.22**	1.09*	0.60	0.62	0.98
3	(2.49)	(1.66)	(0.95)	(1.04)	(1.53)
4	0.55	0.72	0.32	0.19	1.32*
4	(1.00)	(1.10)	(0.54)	(0.32)	(1.92)
5 (High)	0.33	−0.67	0.47	−1.18*	−0.84
5 (High)	(0.33)	(−0.83)	(0.78)	(−1.82)	(−1.47)
High-Low	−0.19	−1.46**	−0.39	−2.24***	−2.32***
High-Low	(−0.20)	(−2.29)	(−0.68)	(−3.85)	(−3.97)
CAPM-alpha	−0.28	−1.71***	−0.75	−2.43***	−2.47***
CAPM-alpha	(−0.30)	(−2.81)	(−1.13)	(−4.09)	(−4.28)
FF3-alpha	−0.67	−1.50**	−0.30	−2.37***	−2.18***
FF3-alpha	(−0.62)	(−2.17)	(−0.47)	(−3.78)	(−3.88)

	RTP1	RTP2	RTP3	RTP4	RTP5
Panel A: VAR1
1 (Low)	0.53	0.74	0.84*	1.14**	1.27***
1 (Low)	(1.30)	(1.49)	(1.71)	(2.47)	(2.61)
2	0.82*	0.82	1.04	1.39	1.43**
2	(1.68)	(1.49)	(1.55)	(1.64)	(2.40)
3	1.28**	0.80	0.62	0.61	0.86
3	(2.09)	(1.42)	(0.93)	(0.96)	(1.58)
4	0.69	0.50	0.40	0.42	1.50**
4	(1.12)	(0.71)	(0.69)	(0.73)	(2.00)
5 (High)	−0.39	0.46	0.11	−1.17	−0.98*
5 (High)	(−0.51)	(0.54)	(0.17)	(−1.56)	(−1.78)
High-Low	−0.76	−0.26	−0.73	−2.31***	−2.22***
High-Low	(−1.11)	(−0.44)	(−1.19)	(−3.51)	(−4.55)
CAPM-alpha	−0.85	−0.59	−1.03*	−2.57***	−2.47***
CAPM-alpha	(−1.35)	(−1.14)	(−1.65)	(−3.92)	(−4.79)
FF3-alpha	−1.05	−0.75	−0.53	−2.50***	−2.04***
FF3-alpha	(−1.31)	(−1.22)	(−0.89)	(−3.54)	(−3.67)
Panel B: VAR5
1 (Low)	0.59	0.83	1.06**	1.23**	1.37***
1 (Low)	(1.46)	(1.61)	(2.11)	(2.50)	(2.83)
2	0.80	0.77	0.76	1.65**	0.95
2	(1.64)	(1.39)	(1.28)	(2.07)	(1.50)
3	1.07**	1.13*	0.70	0.64	1.80***
3	(2.08)	(1.84)	(1.12)	(1.02)	(2.63)
4	0.63	0.43	0.46	0.33	0.76
4	(0.95)	(0.69)	(0.73)	(0.48)	(1.30)
5 (High)	−0.61	0.53	0.23	−1.24**	−1.00*
5 (High)	(−0.64)	(0.72)	(0.36)	(−2.13)	(−1.75)
High-Low	−1.13	−0.30	−0.83	−2.47***	−2.37***
High-Low	(−1.21)	(−0.60)	(−1.63)	(−5.20)	(−5.07)
CAPM-alpha	−1.16	−0.65	−1.27**	−2.70***	−2.58***
CAPM-alpha	(−1.29)	(−1.31)	(−2.42)	(−5.52)	(−5.13)
FF3-alpha	−1.23	−0.37	−0.82	−2.67***	−2.51***
FF3-alpha	(−1.13)	(−0.82)	(−1.64)	(−5.19)	(−4.81)
Panel C: ES1
1 (Low)	0.51	0.88*	0.85	1.21**	1.17**
1 (Low)	(1.24)	(1.76)	(1.53)	(2.42)	(2.01)
2	0.94*	0.57	1.10*	1.25	1.38***
2	(1.75)	(1.11)	(1.67)	(1.29)	(2.87)
3	1.05*	0.92	0.55	0.48	0.84
3	(1.79)	(1.53)	(0.83)	(0.78)	(1.45)
4	0.61	0.51	0.16	0.32	1.33*
4	(0.87)	(0.79)	(0.26)	(0.53)	(1.95)
5 (High)	0.02	0.05	0.41	−1.10	−0.84
5 (High)	(0.03)	(0.06)	(0.64)	(−1.46)	(−1.47)
High-Low	−0.52	−0.83	−0.43	−2.30***	−2.02***
High-Low	(−0.77)	(−1.51)	(−0.72)	(−3.42)	(−3.68)
CAPM-alpha	−0.59	−1.13**	−0.74	−2.55***	−2.23***
CAPM-alpha	(−0.92)	(−2.29)	(−1.18)	(−3.69)	(−3.94)
FF3-alpha	−0.99	−1.35**	−0.32	−2.47***	−1.85***
FF3-alpha	(−1.29)	(−2.14)	(−0.54)	(−3.37)	(−3.40)
Panel D: ES5
1 (Low)	0.57	0.75	0.66	1.31***	1.39***
1 (Low)	(1.38)	(1.50)	(1.33)	(2.83)	(2.75)
2	0.95*	1.04*	1.00	1.78**	1.37***
2	(1.83)	(1.85)	(1.58)	(2.13)	(2.78)
3	0.83	0.85	0.53	0.40	1.09*
3	(1.43)	(1.34)	(0.87)	(0.56)	(1.81)
4	0.97*	0.62	0.31	0.31	1.13
4	(1.69)	(1.07)	(0.51)	(0.50)	(1.63)
5 (High)	−0.66	−0.02	0.51	−1.08*	−0.84
5 (High)	(−0.59)	(−0.03)	(0.73)	(−1.73)	(−1.50)
High-Low	−1.07	−0.80*	−0.16	−2.40***	−2.29***
High-Low	(−0.99)	(−1.74)	(−0.27)	(−4.13)	(−4.61)
CAPM-alpha	−1.12	−1.05**	−0.54	−2.62***	−2.47***
CAPM-alpha	(−1.07)	(−2.31)	(−0.89)	(−4.39)	(−4.63)
FF3-alpha	−1.27	−0.82*	−0.03	−2.52***	−2.19***
FF3-alpha	(−1.10)	(−1.66)	(−0.05)	(−3.84)	(−3.75)
Panel E: SEMI-V
1 (Low)	0.58	0.81*	0.86	1.06**	1.48**
1 (Low)	(1.37)	(1.68)	(1.51)	(2.08)	(2.37)
2	0.72	0.83	0.91	1.29	1.53***
2	(1.40)	(1.61)	(1.47)	(1.46)	(2.75)
3	1.22**	1.09*	0.60	0.62	0.98
3	(2.49)	(1.66)	(0.95)	(1.04)	(1.53)
4	0.55	0.72	0.32	0.19	1.32*
4	(1.00)	(1.10)	(0.54)	(0.32)	(1.92)
5 (High)	0.33	−0.67	0.47	−1.18*	−0.84
5 (High)	(0.33)	(−0.83)	(0.78)	(−1.82)	(−1.47)
High-Low	−0.19	−1.46**	−0.39	−2.24***	−2.32***
High-Low	(−0.20)	(−2.29)	(−0.68)	(−3.85)	(−3.97)
CAPM-alpha	−0.28	−1.71***	−0.75	−2.43***	−2.47***
CAPM-alpha	(−0.30)	(−2.81)	(−1.13)	(−4.09)	(−4.28)
FF3-alpha	−0.67	−1.50**	−0.30	−2.37***	−2.18***
FF3-alpha	(−0.62)	(−2.17)	(−0.47)	(−3.78)	(−3.88)

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. Panels A–E present the value-weighted returns for 25 portfolios computed by sorting stocks based on the RTP and left-tail risk measures (VAR1, VAR5, ES1, ES5 and SEMI-V). 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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