Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper analyzes effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. It is the first study examining this relation for the...

We combine risk-neutral densities from equity index options with realized index returns to estimate the market's risk aversion. Starting from a power utility framework with constant risk aversion, we extend it by more flexible stochastic discount factors. We allow for time-varying risk aversion...

Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...