return autocorrelation. But return is more likely to reverse itself on days with continuous trading due to investor … disagreement, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of …

return autocorrelation. But return is more likely to reverse itself on days with continuous trading on dispersion in beliefs …, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of investment …

structure that generates autocorrelation in the order flow. Since the order flow is predictable, informed traders and the market … prices. Since the empirical autocorrelation in order flows is likely to come from uninformed traders, strategic trading …