Limit order trading behavior and individual investor performance

Alexander Anderson, Julia Henker, Sian Owen

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Using highly detailed data from a major Australian online broker, we investigate individual investors' limit order behavior and performance. We examine relative performance categorized by number and size of limit orders placed, and by proportion of orders that execute. We find that individuals who place the most orders and have the highest number of transactions enjoy higher returns than those with the fewest orders and transactions. The best performers have the highest proportion of orders execute and place smaller orders than the worst performers. These findings are robust after controlling for stock characteristics with the Fama and French [1992] factor model.
Original languageEnglish
Pages (from-to)71-89
Number of pages19
JournalJournal of Behavioral Finance
Volume6
Issue number2
DOIs
Publication statusPublished - 1 Jun 2005

    Fingerprint

Cite this