The well-documented negative association between idiosyncratic volatility (IV) and stock returns is puzzling if investors are risk-averse. We show that this anomaly is also prominent in the Chinese stock market. We attempt to explain the IV anomaly by using the key theories suggested by the...

We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the spread is wide and that algorithms enter the market at...

This paper examines whether the trading activity of different investor types, institutional versus retail, can affect the relation between beta and average returns. We find that the beta-return relation is strong and positive on days with high institutional trading activity, and negative and...

We extend upon the previous studies of the 52 week high and explain how household disposition effect and anchoring behavior is responsible for both the volume spikes at the 52 week high and return continuation following it. Our data set allows recognition of household and institutional stock...

The findings in this paper confirm that there is an economic and statistic negative association between High Frequency Trading [HFT] activity and price volatility. In the ultra-high frequency intervals around HFT there is a slight increase in volatility. This paper also confirms that large high...