Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

This paper investigates the dynamic relation between information-based trading of a stock and its daily return and risk. It develops a theoretical model to motivate the regression specifications for empirical analysis. Based on two samples of stocks, we demonstrate that the expected trading...

This paper develops an equilibrium model featuring heterogeneity in investor risk tolerance across different risk sources. Using Australian data, it confirms the theoretical predictions of the model, by showing that a higher imputation credit yield in one year leads to a lower stock return in...

Rumors can be classified into two types according to whether they can credibly predict impending events. Our analysis of takeover rumors of publicly traded US companies shows that public information on a rumored takeover target, particularly its historical Cumulative Abnormal Return (CAR) before...