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Expected Returns and the Predictability of Equity Lending Fees

Andrews, Spencer - 2022

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

Persistent link: https://www.econbiz.de/10013491786

Trader Lead-Lag Networks and Order Flow Prediction

Challet, Damien - 2016

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader...

Persistent link: https://www.econbiz.de/10012983158

Do Stock Market Trading Activities Forecast Recessions?

Chatterjee, Ujjal - 2016

This paper re-examines the existing recession forecasting models with stock market liquidity as an additional … forecasting variable. We investigate three distinct aspects of stock market trading activities, namely stock market liquidity … power between various stock market liquidity measures. We show that i) lower stock market liquidity signals recessions; ii …

Persistent link: https://www.econbiz.de/10012985495

What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing

Haghani, Victor - 2019

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

Persistent link: https://www.econbiz.de/10012902324

Stock market return predictability : Google pessimistic sentiments versus fear gauge

Habibah, Ume; Rajput, Suresh Kumar Oad; Sadhwani, Ranjeeta - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger...

Persistent link: https://www.econbiz.de/10011886968

What Makes Cryptocurrencies Special? Investor Sentiment and Return Predictability During the Bubble

Chen, Cathy Yi‐Hsuan - 2019

The 2017 bubble on the cryptocurrency market recalls our memory in the dot-com bubble, during which hard-to-measure fundamentals and investors' illusion for brand new technologies led to overvalued prices. Benefiting from the massive increase in the volume of messages published on social media...

Persistent link: https://www.econbiz.de/10012869173

Why Does Option Volume Predict Stock Returns? The Role of Investor Disagreement and Mispriced Stocks

Hameed, Allaudeen - 2020

Divergence in investor beliefs is an important driver of the negative relation between option trading volume and future stock returns. We find a strong negative relation between disagreement-based option trades and future stock returns, and this relation is markedly amplified when the underlying...

Persistent link: https://www.econbiz.de/10012851265

Predicting ETF Liquidity

Pham, Son Duy - 2020

A substantial amount is incurred in ETF transaction costs each year. This paper examines the performance of a vector autoregressive (VAR) model and other naïve models to time trades in 1,350 ETFs over the 2011 to 2017 period. We find varied spread savings for large and retail ETF traders by...

Persistent link: https://www.econbiz.de/10012828896

Stock market trading activity and returns around milestones

Aragon, George O.; Dieckmann, Stephan - In: Journal of empirical finance 18 (2011) 4, pp. 570-584

Persistent link: https://www.econbiz.de/10009306543

Do order imbalances predict Chinese stock returns? : new evidence from intraday data

Narayan, Paresh Kumar; Narayan, Seema; Westerlund, Joakim - In: Pacific-Basin finance journal 34 (2015), pp. 136-151

Persistent link: https://www.econbiz.de/10011535319

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