Chang, Chiao Yi; Chien, Andy; Hsu, Ya-Ting - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 02, pp. 1450013-1
Unlike previous studies that adopted price as the reference point in this paper we employ the adjusted order imbalance that relates to volume as a reference. We examine the relationship between a firm's characteristics and stock returns. Adjusted order imbalance, including trading direction of...