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. Copyright 2004 by The American Finance Association.
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Daniel Dorn & Gur Huberman & Paul Sengmueller, 2008.
"Correlated Trading and Returns,"
Journal of Finance,
American Finance Association, vol. 63(2), pages 885-920, 04.
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