DORN, DANIEL; HUBERMAN, GUR; SENGMUELLER, PAUL - In: Journal of Finance 63 (2008) 2, pp. 885-920
A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through...