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Order imbalance and individual stock returns: Theory and evidence
16 references·16 citing·41 second hopsampled
Order imbalance and individual stock returns: Theory and evidence (2003)Order imbalance and individual stock retu…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Commonality in liquidity (2000)Commonality in liquidityBad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Mutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…The impact of institutional trading on stock prices (1992)The impact of institutional t…Stock Prices and Volume (1992)Stock Prices and VolumeInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Sparse Signals in the Cross‐Section of Returns (2018)Sparse Signals in the Cross‐S…Market-wide attention, trading, and stock returns (2015)Market-wide attention, tradin…High-Frequency Trading around Large Institutional Orders (2015)High-Frequency Trading around…What's Not There: Odd Lots and Market Data (2014)What's Not There: Odd Lots an…How Wise Are Crowds? Insights from Retail Orders and Stock Returns (2013)How Wise Are Crowds? Insights…Does option trading convey stock price information? (2013)Does option trading convey st…Noisy Prices and Inference Regarding Returns (2012)Noisy Prices and Inference Re…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…The information content of an open limit‐order book (2008)The information content of an…Small Trades and the Cross-Section of Stock Returns (2008)Small Trades and the Cross-Se…Institutional Portfolio Flows and International Investments (2008)Institutional Portfolio Flows…Correlated Trading and Returns (2008)Correlated Trading and ReturnsCaught on tape: Institutional trading, stock returns, and earnings announcements (2008)Caught on tape: Institutional…Time-Varying Arrival Rates of Informed and Uninformed Trades (2007)Time-Varying Arrival Rates of…The Cross-Section of Expected Trading Activity (2006)The Cross-Section of Expected…Liquidity and Autocorrelations in Individual Stock Returns (2006)Liquidity and Autocorrelation…Essays in Positive Economics (1954)Does the Stock Market Overreact? (1985)A Simple Model of Herd Behavior (1992)Risk Taking by Mutual Funds as a Response to Incentives (1997)Investor Psychology and Asset Pricing (2001)The Geography of Investment: Informed Trading and Asset Prices (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Capital markets research in accounting (2001)Herd Behavior and Investment (1988)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)On Persistence in Mutual Fund Performance (1997)Institutional Investors and Equity Prices (2001)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 2000Commonality in liquidity1,748 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1992Stock Prices and Volume1,295 cited

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2002
Order imbalance, liquidity, and market returns
914 cited

Cited by

  • 2013How Wise Are Crowds? Insights from Retail Orders and Stock Returns513 cited
  • 2006Liquidity and Autocorrelations in Individual Stock Returns470 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2008Small Trades and the Cross-Section of Stock Returns396 cited
  • 2008Caught on tape: Institutional trading, stock returns, and earnings announcements392 cited
  • 2015Market-wide attention, trading, and stock returns327 cited
  • 2018Sparse Signals in the Cross‐Section of Returns286 cited
  • 2007Time-Varying Arrival Rates of Informed and Uninformed Trades264 cited
  • 2008The information content of an open limit‐order book259 cited
  • 2015High-Frequency Trading around Large Institutional Orders252 cited
  • 2006The Cross-Section of Expected Trading Activity251 cited
  • 2008Correlated Trading and Returns245 cited
  • 2008Institutional Portfolio Flows and International Investments244 cited
  • 2013Does option trading convey stock price information?243 cited
  • 2014What's Not There: Odd Lots and Market Data231 cited
  • 2012Noisy Prices and Inference Regarding Returns230 cited