This paper studies the relation between intermarket sweep order, ISO, order imbalances and daily returns of individual stocks. I show that ISO order imbalances positively affect contemporaneous returns. Second, I find that price pressures emanating from ISO imbalances are persistent and result...

We propose a parsimonious measure based solely on daily stock returns to characterize the severity of microstructure frictions at the individual stock level and assess the impact of frictions on the cross section of stock returns. Stocks with the largest frictions command a value-weighted return...

A firm's marketing efficiency, the ability to optimally deploy and integrate different marketing inputs to achieve high sales revenue at low cost, is persistent. High marketing efficiency predicts better future operating performance and stock returns, especially in competitive industries. A...

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming...

We investigate whether market makers with inventory concerns are compensated with subsequent monthly returns in the cross-section. We find a significant negative relation between order flows and monthly returns, “the order flow effect”, suggesting that market makers lower prices for stocks...

This paper examines the within-market and cross-market information content of order flow for stocks, corporate bonds and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange, we find negative cross-asset effects of order flow on...

We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...

We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...