We investigate whether corporate bond returns are related to commonly used predictors of stock returns. Using a comprehensive sample of U.S. corporate bonds from 1973 to 2011, we find that size, equity momentum, lagged equity returns, profitability, and idiosyncratic volatility forecast bond...

In theoretical models, liquidity and order flow volatility are determined by the same exogenous parameters. Thus, the variability of order flow can at least partially proxy for the unobserved (true) liquidity. Levels of and shocks to order flow volatility are indeed positively and significantly...

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...

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...

We analyze the relation between equity returns, risk, and a rich set of security characteristics that includes institutional ownership, Samp;P 500 index membership, analyst following, and dispersion in analyst forecasts, in addition to previously examined variables such as the book-to-market...