Correlated Trading and Returns

Journal of Finance

Volumn 63, Issue 2, 2008, Pages 885-920

  Dorn, Daniel ^a   Huberman, Gur ^b   Sengmueller, Paul ^c  

^a DREXEL UNIVERSITY   (United States)

^b The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^c TILBURG UNIVERSITY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 41649095190     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2008.01334.x     Document Type: Article

References (49)

1. Amihud, Yacov, and Haim Mendelson, 1980, Dealership market: Market making with inventory, Journal of Financial Economics 8, 31 53.
2. Andrade, Sandro C., Charles Chang, and Mark S. Seasholes, 2007, Trading imbalances, predictable reversals, and cross-stock price pressure, Journal of Financial Economics (forthcoming).
3. Barber, Brad, and Terrance Odean, 2000, Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance 55, 773 806.
4. Barber, Brad, and Terrance Odean, 2002, Online investors: Do the slow die first Review of Financial Studies 15, 455 487.
5. Barber, Brad, Terrance Odean, and Ning Zhu, 2006, Do noise traders move markets Working paper, University of California, Berkeley.
6. Barber, Brad M., Terrance Odean, and Ning Zhu, 2003, Systematic noise, Working paper, University of California, Berkeley.
7. Barberis, Nicholas C., and Andrei Shleifer, 2003, Style investing, Journal of Financial Economics 68, 161 199.
8. Campbell, John Y., Sanford J. Grossman, and Jiang Wang, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 905 939.
9. Chordia, T., and A. Subrahmanyam, 2004, Order imbalance and individual stock returns, Journal of Financial Economics 72, 485 518.
10. Coval, Joshua D., and Tobias J. Moskowitz, 1999, Home bias at home: Local equity preference in domestic portfolios, Journal of Finance 54, 145 166.
11. Cutler, David M., James M. Poterba, and Lawrence H. Summers, 1989, What moves stock prices Journal of Portfolio Management 15, 4 12.
12. De Long, J. Bradford, Andrei Shleifer, Lawrence Summers, and Robert J. Waldmann, 1990a, Noise trader risk in financial markets, Journal of Political Economy 98, 703 738.
13. De Long, J. Bradford, Andrei Shleifer, Lawrence Summers, and Robert J. Waldmann, 1990b, Positive feedback investment strategies and destabilizing rational speculation, Journal of Finance 45, 375 395.
14. Deutsches Aktieninstitut, 2003, Factbook 2002, Frankfurt am Main.
15. Dorn, Daniel, and Gur Huberman, 2005, Talk and action: What individual investors say and what they do, Review of Finance 9, 1 45.
16. Feng, Lei, and Mark S. Seasholes, 2004, Correlated trading and location, Journal of Finance 59, 2117 2144.
17. Frazzini, Andrea, and Owen Lamont, 2006, The earnings announcement premium and trading volume, Working paper, University of Chicago and Yale University.
18. Gilchrist, Simon, and Charles Himmelberg, 1998, Investment, fundamentals, and finance, Working paper 6652, National Bureau of Economic Research.
19. Glosten, Lawrence R., and Paul R. Milgrom, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71 100.
20. Goetzmann, William N., and Massimo Massa, 2002, Daily momentum and contrarian behavior of index fund investors, Journal of Financial and Quantitative Analysis 37, 375 389.
21. Griffin, John M., Jeffrey Harris, and Selim Topaloglu, 2003, The dynamics of institutional and individual trading, Journal of Finance 58, 2285 2320.
22. Grinblatt, Mark, and Matti Keloharju, 2000, The investment behavior and performance of various investor types: A study of Finland's unique data set, Journal of Financial Economics 55, 43 67.
23. Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, American Economic Review 85, 1088 1105.
24. Grossman, Sanford J., and Merton H. Miller, 1988, Liquidity and market structure, Journal of Finance 43, 617 637.
25. Harris, Milton, and Artur Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies 6, 473 506.
26. Hasbrouck, Joel, 1991, Measuring the information content of stock trades, Journal of Finance 46, 179 207.
27. Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143 2184.
28. Huberman, Gur, and Werner Stanzl, 2004, Price manipulation and quasi-arbitrage, Econometrica 74, 1247 1276.
29. Hvidkjaer, Soeren, 2006, Small trades and the cross-section of stock returns, Working paper, University of Maryland.
30. Jackson, Andrew, 2003, The aggregate behaviour of individual investors, Working paper, London Business School.
31. Kandel, Eugene, and Neil D. Pearson, 1995, Differential interpretation of public signals and trade in speculative markets, Journal of Political Economy 103, 831 872.
32. Kaniel, Ron, Gideon Saar, and Sheridan Titman, 2008, Individual investor trading and stock returns, Journal of Finance 273-310.
33. Kumar, Alok, and Charles Lee, 2006, Retail investor sentiment and return comovements, Journal of Finance 61, 2451 2486.
34. Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315 1335.
35. Kyrolainen, Petri J., and Jukka Perttunen, 2002, Investors' activity and trading behavior, Working paper, University of Oulu.
36. Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics 32, 23 43.
37. Linnainmaa, Juhani, 2003, Who makes the limit order book? Implications for contrarian strategies, attention-grabbing hypothesis, and the disposition effect, Working paper, University of California at Los Angeles.
38. Love, Inessa, 2001, Estimating panel-data autoregressions, Working paper, Columbia University.
39. Malmendier, Ulrike, and Devin Shanthikumar, 2007, Are small investors naive about incentives Journal of Financial Economics 85, 457 489.
40. Mitchell, Mark L., and J. Harold Mulherin, 1994, The impact of public information on the stock market, Journal of Finance 49, 923 950.
41. New York Stock Exchange, 2001, U.S. shareholders and online trading, New York.
42. Nofsinger, John R., and Richard W. Sias, 1999, Herding and feedback trading by institutional and individual investors, Journal of Finance 54, 2263 2295.
43. Shleifer, Andrei, and Robert Vishny, 1997, The limits to arbitrage, Journal of Finance 52, 35 55.
44. Stoll, Hans, 1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133 1151.
45. Van Steenis, Huw, and Christian Ossig, 2000, European online investor, JP Morgan Equity Research Report.
46. Wermers, Russ, 1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581 622.
47. Williams, Rick, 2000, A note on robust variance estimation for cluster-correlated data, Biometrics 56, 645 646.
48. Womack, Kent L., 1996, Do brokerage analysts' recommendations have investment value Journal of Finance 51, 137 168.
49. Wylie, Sam, 2005, Fund manager herding: A test of the accuracy of empirical results using U.K. data, Journal of Business 78, 381 403.