We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors buy or...

We present a stock market model that quantitatively replicates the joint behavior of stock prices, trading volume and investor expectations. Stock prices in the model occasionally display belief-driven boom and bust cycles that delink asset prices from fundamentals and redistribute considerable...

We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In addition, we consider measures for long-run...

We investigate the impact of the French 2012 financial transaction tax on trading volumes and volatility. We extend empirical research by analyzing announcement and short-run treatment effects, migration effects, and long-run volatility measures. We find a strong short-run impact on trading...