This paper investigates basis spreads on index futures listed on the Taiwan Futures Exchange. We analyze the role of speculators and of informed trading in Taiwan's futures market using intraday data during the five-day pre-expiration period. We demonstrate that liquidity, volatility, and...

We test the implications of a multi-asset equilibrium model in which a finite number of risk-averse liquidity providers accommodate non-informational trading imbalances. These imbalances generate predictable reversals in stock returns. An imbalance in one stock also affects the prices of other...

In this paper, we explore how US financial firms trade relative to their own equity analyst recommendations. In the quarter-of and that immediately follow a recommendation, firm trades are significantly positively related to recommendation changes. This relation is robust to controls for...