Trading imbalances, predictable reversals, and cross-stock price pressure

By Sandro C. Andrade, Charles Chang, Mark S. Seasholes. 2008

129 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d0dcc83f6b030075077b9277901a4854244b1aa9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Thierry Foucault
2. David Sraer
3. David Thesmar
4. Takuji Saito
5. R. Barontini
6. Antoinette Schoar
7. Belén Villalonga
8. Raphael Amit

In Economics and Econometrics

1. Thierry Foucault
2. David Sraer
3. David Thesmar
4. Murillo Campello
5. Abdullah Al Masum
6. S. Javadi

In Finance

1. Thierry Foucault
2. David Sraer
3. David Thesmar
4. Takuji Saito
5. Antoinette Schoar
6. Murillo Campello
7. R. Barontini
8. Belén Villalonga

Citations in the corpus

• Illiquidity Contagion and Liquidity Crashes (2014, unknown): “and pj1 clears the market of asset j for each realization of {uj, δj, u−j, δ−j} when dealers anticipate that clearing prices satisfy equation (7) and choose their trading strategy to maximize their expected utility (given in equation (3)).”
• Noisy Prices and Inference Regarding Returns (2013, unknown): “Andrade, Chang, and Seasholes (2008) study Taiwanese stocks, and also find a negative relation between price changes and prior-day order imbalances.”
• Individual Investors and Volatility (2011, background): “JEL Classification: G11, G12 and G14 Keywords: idiosyncratic volatility, noise trading and retail investors Thierry Foucault HEC, School of Managment”
• The Price Pressure of Aggregate Mutual Fund Flows (2010, unknown): “Other papers that investigate price impacts in longer than daily horizons are Obizhaeva (2007), Andrade, Chang, and Seasholes (2008), and Subrahmanyam (2008). investors on the market as a whole.”