Subrahmanyam, Avanidhar - In: The Quarterly Review of Economics and Finance 48 (2008) 3, pp. 623-640
In this paper, we consider the large-sample relation between returns and lagged order flows over horizons of up to 2 months. The analysis is motivated by work in market microstructure which suggests that the effects of inventory control on stock returns should be discernible over horizons longer...