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Liquidity and the Law of One Price : The Case of the Cash/Futures Basis

Schwartz, Eduardo S. - 2005

Deviations from no-arbitrage relations should be related to frictions associated with transacting; in particular to market illiquidity, because frictions impede arbitrage. Thus, financial market liquidity may play a key role in moving prices to fair values. At the same time, a wide futures/cash...

Persistent link: https://www.econbiz.de/10012737210

Price Formation with Autocorrelated Order Flow : Theory and Evidence

Chordia, Tarun - 2004

This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a theoretical framework, whose distinguishing feature is that it explicitly considers how market makers with inventory concerns dynamically accommodate autocorrelated...

Persistent link: https://www.econbiz.de/10012739079

The Cross-Section of Analyst Recommendations

Subrahmanyam, Avanidhar - 2011

We analyze the relation between the price reaction to analysts' revisions and the attributes (years of experience, reputation of the analysts' brokerage houses) of the analysts making the recommendations. These attributes form proxies for analyst ability that we validate by documenting that...

Persistent link: https://www.econbiz.de/10012714814

Covariance Risk, Mispricing, and the Cross Section of Security Returns

Daniel, Kent - 2011

This paper offers a model in which asset rices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental/price ratios)....

Persistent link: https://www.econbiz.de/10012715091

A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-Reactions

Daniel, Kent - 2018

ability to evaluate securities, in the sense that they overestimate the precision of their private information signals. The … implies overreaction to private information arrival and underreaction to public information arrival. This is consistent with …

Persistent link: https://www.econbiz.de/10012706632

Order Imbalance and Individual Stock Returns

Chordia, Tarun - 2002

Persistent link: https://www.econbiz.de/10012787064

Risk Aversion, Liquidity, and Endogenous Short Horizons

Subrahmanyam, Avanidhar - 1998

We analyze trading behavior and information acquisition in a competitive rational expectations model in which different … information signals get reflected in value at different points in time (in the short-term and in the long-term). If investors are … disclose their information following an initial round of trade. We explore parameter spaces under which such disclosure is …

Persistent link: https://www.econbiz.de/10012791967

Distinguishing between Rationales for Short-Horizon Predictability of Stock Returns

Subrahmanyam, Avanidhar - 2004

In this paper, we shed light on short-horizon return reversals. We show theoretically that a risk-based rationale for reversals implies a relation between returns and past order flow, whereas a reversion in beliefs of biased agents does not do so. The empirical results indicate that returns are...

Persistent link: https://www.econbiz.de/10012785363

Evidence on the Speed of Convergence to Market Efficiency

Chordia, Tarun - 2004

Daily returns for stocks listed on the New York Exchange (NYSE) are not serially dependent. In contrast, order imbalances on the same stocks are highly persistent from day to day. These two empirical facts can be reconciled if sophisticated investors react to order imbalances within the trading...

Persistent link: https://www.econbiz.de/10012785422

Market Liquidity and Trading Activity

Chordia, Tarun - 2001

Spreads, depths and trading activity for US equities are studied over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile, negatively serially correlated and influenced by a variety of factors. Liquidity plummets significantly in down...

Persistent link: https://www.econbiz.de/10012742920