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Buy-sell imbalances, market returns and macro-announcement days

https://doi.org/10.2139/ssrn.6447691
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The informational role of individual investors in stock pricing: Evidence from large individual and small retail investors
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A Lottery-Demand-Based Explanation of the Beta Anomaly
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Flattening the Illiquidity Curve: Retail Trading During the COVID-19 Lockdown
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The Behavior of Stock-Market Prices
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Macroeconomic Factors Do Influence Aggregate Stock Returns
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A Model of Two Days: Discrete News and Asset Prices
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Do Retail Trades Move Markets?
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Retail Short Selling and Stock Prices
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Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume
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Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
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How Wise Are Crowds? Insights from Retail Orders and Stock Returns
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Stock Returns Over the FOMC Cycle
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Tracking Retail Investor Activity
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The Wisdom of the Robinhood Crowd
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Attention‐Induced Trading and Returns: Evidence from Robinhood Users
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Central Banks, Stock Markets, and the Real Economy
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Does retail trading matter to price discovery?
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Continuous Auctions and Insider Trading
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