Short-Term Return Predictability and Repetitive Institutional Net Order Activity
In: Journal of Financial Research, Band 40, Heft 4, S. 455-477
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In: Journal of Financial Research, Band 40, Heft 4, S. 455-477
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Working paper
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 40, Heft 4, S. 455-477
ISSN: 1475-6803
AbstractHalf‐hour returns predict same‐half‐hour returns on subsequent days. We hypothesize that this is due to institutional traders who execute their parent orders over multiple days ("repetitive institutional traders"). Using a unique data set that provides masked trader identification and trader type, we find that the half‐hour net order submission activity of repetitive institutional traders is predictive of same‐half‐hour returns on subsequent days, and that this relation subsumes the return predictability at shorter intervals. Repetitive institutional traders incur lower transaction costs than their nonrepetitive counterparts, suggesting that other traders compete to provide liquidity to the anticipated order flow originating from the repetitive traders.
In: Journal of Banking and Finance, Band 104
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In: Asian Finance Association (AsianFA) 2016 Conference
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