SARKAR, ASANI; SCHWARTZ, ROBERT A. - In: Journal of Finance 64 (2009) 1, pp. 375-423
We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the number of buyer- and seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that...