  We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive
power of retail order imbalance (ROI) for future stock returns. First, we
replicate their 2010-2015 analysis in the more recent 2016-2021 period. We find
that the ROI's predictive power weakens significantly. Specifically, past ROI
can no longer predict weekly returns on large-cap stocks, and the long-short
strategy based on past ROI is no longer profitable. Second, we analyze the
effect of using the alternative quote midpoint (QMP) method to identify and
sign retail trades on their main conclusions. While the results based on the
QMP method align with BJZZ's findings in 2010-2015, the two methods provide
different conclusions in 2016-2021. Our study shows that BJZZ's original
findings are sensitive to the sample period and the approach to identify ROIs.
