Showing 1 - 10 of 144
Limit orders are usually viewed as patiently supplying liquidity. We investigate the trading of one hundred Nasdaq-listed stocks on INET, a limit order book. In contrast to the usual view, we find that over one-third of nonmarketable limit orders are cancelled within two seconds. We investigate...
Persistent link: https://www.econbiz.de/10012726495
This paper uses experimental asset markets to investigate the evolution of liquidity in an electronic limit order market. Our market setting includes salient features of electronic limit order markets, as well as informed traders and liquidity traders. We focus on the strategies of the traders,...
Persistent link: https://www.econbiz.de/10012739077
This paper documents evidence consistent with informed trading by individual investors around earnings announcements using a unique dataset of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after...
Persistent link: https://www.econbiz.de/10012713916
This paper documents evidence consistent with informed trading by individual investors around earnings announcements using a unique dataset of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after...
Persistent link: https://www.econbiz.de/10012713957
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative...
Persistent link: https://www.econbiz.de/10012722208
This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We...
Persistent link: https://www.econbiz.de/10012732209
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative...
Persistent link: https://www.econbiz.de/10012763148
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative...
Persistent link: https://www.econbiz.de/10012765901
This paper proposes an alternative explanation for the price impact of trades created by information that is carried in the order flow. Unlike models that consider information asymmetry about the future cash flows (or liquidation value) of the asset, the approach here postulates uncertainty...
Persistent link: https://www.econbiz.de/10012768998
We propose a mechanism that relates asset returns to the firm's optimal listing choice. The crucial element in our framework is not a difference in the structure or rules of the alternative markets, but a difference in the return patterns of the securities that are traded on these markets. We...
Persistent link: https://www.econbiz.de/10012735475