Correlated trading and location

Lei Feng, Mark Seasholes

Research output: Contribution to journalArticle

103 Citations (Scopus)

Abstract

This paper analyzes the trading behavior of stock market investors. Purchases and sales are highly correlated when we divide investors geographically. Investors who live near a firm's headquarters react in a similar manner to releases of public information. We are able to make this identification by exploiting a unique feature of individual brokerage accounts in the People's Republic of China. The data allow us to pinpoint an investor's location at the time he or she places a trade. Our results are consistent with a simple, rational expectations model of heterogeneously informed investors.

Original languageEnglish (US)
Pages (from-to)2117-2144
Number of pages28
JournalJournal of Finance
Volume59
Issue number5
DOIs
StatePublished - Oct 2004
Externally publishedYes

Fingerprint

Investors
Rational expectations models
Purchase
Headquarters
Trading behavior
China
Public information
Stock market
Brokerage

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

Correlated trading and location. / Feng, Lei; Seasholes, Mark.

In: Journal of Finance, Vol. 59, No. 5, 10.2004, p. 2117-2144.

Research output: Contribution to journalArticle

Feng, Lei ; Seasholes, Mark. / Correlated trading and location. In: Journal of Finance. 2004 ; Vol. 59, No. 5. pp. 2117-2144.
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