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

• 成果类型: Article
• 署名作者: Andrade, Sandro C.; Chang, Charles; Seasholes, Mark S.
• 署名单位: Santa Clara University; University of Miami; Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.04.005
• 发表日期: 2008
• 页码: 406-423
• 关键词: Return reversals; Return predictability; excess volatility

摘要

We test the implications of a multi-asset equilibrium model in which a finite number of risk-averse liquidity providers accommodate non-informational trading imbalances. These imbalances generate predictable reversals in stock returns. An imbalance in one stock also affects the prices of other stocks. The magnitude of the cross-stock price pressure depends on the correlations of the stocks' underlying cash flows. The model implies that non-informational trading increases the volatility of stock returns. We confirm the model's implications using data from the Taiwan Stock Exchange. (C) 2008 Published by Elsevier B.V.