Stats › Intraday et microstructure de marché › Retail order flow
Retail order flow predicted returns, and then the tradeable part of it stopped
Fama-MacBeth coefficients on retail order imbalance in dollar volume, predicting returns k weeks ahead. The point estimates fall by a third to a half and the t statistics fall by more. The figures come from a replication that reproduces the original tables with high precision; the original paper itself was not opened.
Retail order imbalance predicted next week's returns with a t statistic of 15.14 over 2010 to 2015. Over 2016 to 2021 the coefficient falls by a third and the long short strategy's alpha is no longer significant at any horizon across all stocks.
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