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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

(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

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

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

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

Changing Expected Returns Can Induce Spurious Components in Autocorrelations

Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, … - 2022

Movements in expected returns (ER) can cause a bias in measured autocorrelations, and the resulting spurious component is positive for infrequent regime shifts. We demonstrate this point analytically and investigate its empirical prevalence. In a key contribution, we use shifts in ex ante ER...

Persistent link: https://www.econbiz.de/10013405361

Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?

Chordia, Tarun - 2014

We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of prominent equity return anomalies due to increased arbitrage. We find that the majority of the anomalies have attenuated, and the average returns from a portfolio strategy based on...

Persistent link: https://www.econbiz.de/10013066330

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

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

Changing Expected Returns Can Induce Spurious Serial Correlation

Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, … - 2021

Changing expected returns can induce spurious autocorrelation in returns. We show why this happens with simple examples and investigate its prevalence in actual equity data. In a key contribution, we use shifts in ex ante expected return estimates from options prices, factor models, and...

Persistent link: https://www.econbiz.de/10013321535