Systematic Noise
Journal of Financial Markets, 2009

In this paper, Professor Brad Barber and co-authors Terrence Odean from the University of California, Berkeley and Ning Zhu from the Shanghai Advanced Institute of Finance analyze trading records for 66,465 households at a large discount broker and 665,533 investors at a large retail broker to document that the trading of individuals is highly correlated and persistent.

This systematic trading of individual investors is not primarily driven by passive reactions to institutional herding, by systematic changes in risk-aversion, or by taxes. Psychological biases likely contribute to the correlated trading of individuals. These biases lead investors to systematically buy stocks with strong recent performance, to refrain from selling stocks held for a loss, and to be net buyers of stocks with unusually high trading volume.