Order imbalance and individual stock returns
WebDec 4, 2024 · I examine the relation between intermarket sweep order (ISO) order imbalances and the daily returns of individual stocks. First, I show that ISO order …
Order imbalance and individual stock returns
Did you know?
WebPredictability of order imbalance measures a cost of asymmetric information that is not captured by traditional measures of adverse selection. The risk factor that is associated with asymmetric information is priced in the cross-section of stock returns, controlling for a variety of conventional sources of systematic risk. WebWe investigate the relation between daily order imbalance and return in the Chinese stock markets of Shenzhen and Shanghai. Prior studies have found that daily order imbalance is …
WebAuthor(s): Chordia, Tarun; Subrahmanyam, Avanidhar Abstract: This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which explicitly considers how market makers dynamically accommodate autocorrelated imbalances emanating from large traders who optimally … WebDec 4, 2024 · Abstract. I examine the relation between intermarket sweep order, ISO, order imbalances and the daily returns of individual stocks. First, I show that ISO order …
WebJun 1, 2004 · This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which considers how market … WebApr 6, 2009 · We distinguish imbalances by trader type (individuals, domestic institutions, foreign institutions) and by the usual size of each trader's order. Day-to-day persistence in order imbalance is strongest for small foreign institutions and weakest for …
WebABSTRACT. This paper studies the impact of order imbalance beta on cross-sectional stock returns in the Chinese stock market. We measure the daily order imbalance beta, which is defined as the sensitivity of stock returns to changes in stock order imbalance, and show at the individual stock level that stocks with higher order imbalance betas …
WebStock Order Imbalance. Stock Order imbalances may occur when major news is released regarding a stock, such as earnings, a change in future revenue or earnings guidance, or … philippine air asiaWeba random large order imbalance exacerbates the inventory problem faced by the market maker, who can be expected to respond by changing bid-ask spreads and revising price … truly pureWebOrder imbalance and individual stock returns: Theory and evidence. Tarun Chordia and Avanidhar Subrahmanyam. Journal of Financial Economics, 2004, vol. 72, issue 3, 485-518 . Date: 2004 References: View references in EconPapers View complete reference list from CitEc Citations: View citations in EconPapers (168) Track citations by RSS feed … truly pineapple mango flavored vodkaWebOrder imbalance and individual stock returns: Theory and evidence. T Chordia, A Subrahmanyam. Journal of Financial Economics 72 (3), 485-518, 2004. 667: 2004: Asset pricing models and financial market anomalies. D Avramov, T Chordia. The Review of Financial Studies 19 (3), 1001-1040, 2006. 631: philippine air force atak 129 helicoptersWebJan 1, 2000 · The results suggest that trading imbalance strongly predicts stock returns in the cross-section, even after accounting for risk factors, firm characteristics and other liquidity measures, and... truly pvc limitedWebDec 1, 2002 · This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a theoretical framework, whose … philippine air force barracksWebAn order imbalance is when one side of the trade (buy or sell) meaningfully outweighs the other side, which can significantly affect the price. truly queen ig