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Order Flow Volatility and Equity Costs of Capital
Chordia, Tarun - 2017
We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility … varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility …. Levels of and shocks to order flow volatility are positively and significantly correlated with existing illiquidity proxies …
Persistent link: https://www.econbiz.de/10012973303
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Post-Fundamentals Drift in Stock Prices : A Regression Regularization Perspective
Avramov, Doron - 2020
Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. The deviations-based predictability survives a comprehensive set of prominent anomalies. The profitability applies strongly to the...
Persistent link: https://www.econbiz.de/10012845643
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(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
Daniel, Kent D. - 2018
. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …
Persistent link: https://www.econbiz.de/10012918741
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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with publicly listed and private firms. In our setting, stock prices are...
Persistent link: https://www.econbiz.de/10013089186
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Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures Markets
Akhtar, Shumi M. - 2011
We examine the announcement effects of consumer sentiment on US stock and stock futures markets. First, we find that the consumer sentiment announcement has valuable information content. Second, an asymmetric response is observed for “good” versus “bad” sentiment news. Specifically, when...
Persistent link: https://www.econbiz.de/10013130425
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Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?
Krishnamurti, Chandrasekhar - 2014
Several studies on the expiration of IPO lockups document a strong negative reaction even though the unlock event is devoid of any informational content. The empirical finding has remained a conundrum. In this paper, we find that changes in liquidity can account for the observed stock price...
Persistent link: https://www.econbiz.de/10013070407
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Momentum, Reversals, and Investor Clientele
Chui, Andy C.W. - 2020
The identical cash flow rights of Chinese A and B shares provide a natural experiment that allows us to explore how investor clienteles affect stock return patterns. Chinese domestic retail investors are responsible for the majority of trades in A shares, while foreign institutional investors...
Persistent link: https://www.econbiz.de/10012825537
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Moving Average Distance as a Predictor of Equity Returns
Avramov, Doron - 2020
The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond momentum, 52-week highs, profitability, and...
Persistent link: https://www.econbiz.de/10012853004
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Alpha and Beta Information
Huang, Shiyang - 2020
the factor. We show that expected market liquidity is lower and liquidity risk is higher when the ex ante volatility of …
Persistent link: https://www.econbiz.de/10012823165
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Sentiment and Momentum
Doukas, John A. - 2019
This paper sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, which slows the diffusion of signals that oppose the direction of sentiment. This phenomenon...
Persistent link: https://www.econbiz.de/10012906186