We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for one of the largest order-driven equity markets: the Tokyo Stock Exchange (TSE). The pooled regression coefficients of the log of the number of trades on the log of trading activities range from 0.586 to 0.679, close to...

Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies...

We test the invariance-of-bet hypothesis from Kyle and Obizhaeva (2016) for the Tokyo Stock Exchange. The pooled regression coefficients of log of the number of trades on log of trading activities range from 0.586 to 0.679, close to the theoretical value of two-thirds predicted by the...