Weigerding, Michael; Hanke, Michael Hanke; Schwetzler, … - In: Business Research 11 (2018) 1, pp. 173-196
Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...
