Andrade, Sandro C.; Chang, Charles; Seasholes, Mark S. - In: Journal of Financial Economics 88 (2008) 2, pp. 406-423
We test the implications of a multi-asset equilibrium model in which a finite number of risk-averse liquidity providers accommodate non-informational trading imbalances. These imbalances generate predictable reversals in stock returns. An imbalance in one stock also affects the prices of other...