Trading imbalances, predictable reversals, and cross-stock price pressure

Journal of Financial Economics

Volumn 88, Issue 2, 2008, Pages 406-423

  Andrade, Sandro C ^a   Chang, Charles ^b   Seasholes, Mark S ^c  

^a UNIVERSITY OF MIAMI   (United States)

^b Department of Obstetrics Gynecology   (United States)

^c SANTA CLARA UNIVERSITY   (United States)

Author keywords

Excess volatility; Return predictability; Return reversals

Indexed keywords

EID: 43849109356     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2007.04.005     Document Type: Article

References (40)

1. Amihud Y., and Mendelson H. Dealership markets: marketmaking with inventories. Journal of Financial Economics 8 (1980) 31-53
2. Avramov D., Chordia T., and Goyal A. Liquidity and autocorrelations in individual stock returns. Journal of Finance 61 (2006) 2365-2394
3. Barber, B., Lee, Y., Liu, J., Odean, T., 2005. Who loses from trade? Evidence from Taiwan. Unpublished working paper. U.C. Davis.
4. Barber B., and Odean T. Trading is hazardous to your wealth: the common stock investment performance of individual investors. Journal of Finance 55 (2000) 773-806
5. Barber, B., Odean, T., Zhu, N., 2006. Do noise traders move markets? Unpublished working paper. U.C. Davis.
6. Barberis N., and Shleifer A. Style investing. Journal of Financial Economics 68 (2003) 161-199
7. Blume M., and Stambaugh R. Biases in computed returns: an application to the size effect. Journal of Financial Economics 12 (1983) 387-404
8. Campbell J., Grossman S., and Wang J. Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108 (1993) 905-939
9. Chordia T., Roll R., and Subrahmanyam A. Commonality in liquidity. Journal of Financial Economics 56 (2000) 3-28
10. Chordia T., Roll R., and Subrahmanyam A. Order imbalance, liquidity, and market returns. Journal of Financial Economics 65 (2002) 111-130
11. Chordia, T., Roll, R., Subrahmanyam, A., 2005. Liquidity and market efficiency. Unpublished working paper. Emory University.
12. Chordia T., and Subrahmanyam A. Order imbalance and individual stock returns: theory and evidence. Journal of Financial Economics 72 (2004) 485-518
13. DeLong B., Shleifer A., Summers L., and Waldman R. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45 (1990) 379-395
14. DeLong B., Shleifer A., Summers L., and Waldman R. Noise trader risk in financial markets. Journal of Political Economy 98 (1990) 703-738
15. Denis D., McConnell J., Ovtchinnikov A., and Yu Y. SP500 index additions and earnings expectations. Journal of Finance 58 (2003) 1821-1840
16. Dhillon U., and Johnson H. Changes in the standard & poor's 500 list. Journal of Business 64 (1991) 75-85
17. Greenwood R. Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage. Journal of Financial Economics 75 (2005) 607-649
18. Greenwood, R., 2007. Excess comovement of stock returns: evidence from cross-sectional variation in Nikkei 225 weights. Review of Financial Studies, forthcoming.
19. Grossman S., and Miller M. Liquidity and market structure. Journal of Finance 43 (1988) 617-637
20. Harford J., and Kaul A. Correlated order flow: pervasiveness, sources, pricing effects. Journal of Financial and Quantitative Analysis 40 (2005) 29-55
21. Harris L., and Gurel E. Price and volume effects associated with changes in the SP500 list: new evidence for the existence of price pressure. Journal of Finance 41 (1986) 815-829
22. Hegde S., and McDermott J. The liquidity effects of revisions to the SP500 index: an empirical analysis. Journal of Financial Markets 6 (2003) 413-459
23. Hendershott, T., Seasholes, M., 2007. Market maker inventories and stock prices. American Economic Review, Papers and Proceedings 97, 210-214.
24. Ho T., and Stoll H. The dynamics of dealer markets under competition. Journal of Finance 38 (1983) 1053-1074
25. Holden C., and Subrahmanyam A. News events, information acquisition, serial correlation. Journal of Business 75 (2002) 1-32
26. Hvidkjaer, S., 2006. Small trades and the cross-section of stock returns. Review of Financial Studies, forthcoming.
27. Jagadeesh N. Evidence of predictable behavior of security returns. Journal of Finance 45 (1990) 881-898
28. Kaniel, R., Saar, G., Titman, S., 2008. Individual investor trading and stock returns. Journal of Finance, forthcoming.
29. Lee Y., Liu Y., Roll R., and Subrahmanyam A. Order imbalances and market efficiency: evidence from the Taiwan stock exchange. Journal of Financial and Quantitative Analysis 39 (2004) 327-341
30. Lehmann B. Fads, martingales, market efficiency. Quarterly Journal of Economics 105 (1990) 1-28
31. Llorente G., Michaely R., Saar G., and Wang J. Dynamic volume-return relation of individual stocks. Review of Financial Studies 15 (2002) 1005-1047
32. Madhavan A., and Smidt S. An analysis of changes in specialist inventories and quotations. Journal of Finance 48 (1993) 1595-1628
33. O'hara M., and Oldfield G. The microeconomics of market making. Journal of Financial and Quantitative Analysis 21 (1986) 361-376
34. Petersen, M., 2007. Estimating standard errors in finance panel data sets: comparing approaches. Review of Financial Studies, forthcoming.
35. Shiller R. Do stock prices move too much to be justified by subsequent changes in dividends?. American Economic Review 71 (1981) 421-436
36. Shleifer A. Do demand curves for stocks slope down?. Journal of Finance 41 (1986) 579-590
37. Spiegel M., and Subrahmanyam A. On intraday risk premia. Journal of Finance 50 (1995) 319-339
38. Subrahmanyam A. Distinguishing between rationales for short-horizon predictability of stock returns. The Financial Review 40 (2005) 11-35
39. Subrahmanyam, A., 2005b. Lagged order flows and returns: a longer-term perspective. Unpublished working paper, UCLA.
40. Wurgler J., and Zhuravskaya E. Does arbitrage flatten demand curves for stocks?. Journal of Business 75 (2002) 583-608