We use random matching to study the trading behaviors of retail investors who hold passive exchange traded funds invested in stocks (P-ETFs). Using both trading records and survey data to control for all the key investor characteristics, we find strong evidence that retail investors trade...

This paper investigates the performance of various multiplier techniques in reducing downside risk for dynamic core-satellite portfolios. Using Monte Carlo simulations calibrated on monthly data for three different portfolios over a ten-year period, we show that the dynamic IR/TE multiplier...

We identify fast trading by directly measuring message traffic and the lifetime of orders for all market members on Euronext using their identification codes. We show that the fast-traded stocks exhibit the weakest decrease in both the relative spread and the cost of round trip trade. These...

Using a large set of trading accounts, we study the determinants of retail investing in passive Exchange Traded Funds (P-ETFs). Controlling for investor characteristics related to their risk-return profile, trading activity, and socio-demographics, we show that the probability and magnitude of...

Building on Barber and Odean (2008), a growing body of papers document a positive relationship between Google Search Volume Index (SVI) and equity market returns. Such findings suggest that increased attention is combined with a buying pressure that subsequently results in positive returns. This...

Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order...

Using a rich dataset of orders and trades for a sample of stocks listed on the four European markets of NYSE Euronext, we apply principal component analysis and provide evidence on the existence and magnitude of commonality in returns, order flow and liquidity. We show that commonality in order...

Using an online experiment, we examine to what extent people are ready to bear negative interest rates (NIR hereafter) on their savings. We find some tolerance to NIR, i.e. people being willing to let money in the bank, rather than spend it, and thereby accepting to have less at some later time...

Surveys worldwide indicate that return expectations of individual investors are often high. This paper investigates the determinants of individual target returns and the capacity of investors to reach their expectations. Using trading records and matched survey data for 4,140 retail investors,...

The recent implementation of negative interest rates (NIR) by central and commercial banks invites empirical scrutiny of how people would react to this atypical financial policy where one has to pay to let money in the bank. Economic thinking on this issue posits that people would not tolerate...