To shed light on the formation, expansion, and deflation of bubbles, we study how the cross section of stocks evolves during the 2015 Chinese stock market bubble. Using data on administrative account-level stock holdings covering a representative sample of 18 million retail investors and all...

Using data on 18 million individual equity accounts, we study retail investors' return-chasing behavior. We construct a new measure for an individual's return chasing propensity (RCP). Less sophisticated investors tend to exhibit higher RCP. Investors with a one standard deviation higher RCP...

This dissertation examines the trading behavior of retail investors using large datasets and both causal inference and structural estimation methods. The study has two main objectives: to understand the heterogeneity across different investors and to quantify the price impacts of various trading...