Order imbalance and individual stock returns: Theory and evidence

• 成果类型: Article
• 署名作者: Chordia, T; Subrahmanyam, A
• 署名单位: University of California System; University of California Los Angeles; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00175-2
• 发表日期: 2004
• 页码: 485-518
• 关键词: Market microstructure; market efficiency; Order imbalance

摘要

This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which considers how market makers dynamically accommodate autocorrelated imbalances emanating from large traders who optimally choose to split their orders. Price pressures caused by autocorrelated imbalances cause a positive relation between lagged imbalances and returns, which reverses sign after controlling for the current imbalance. We find empirical evidence consistent with these implications. We also find that imbalance-based trading strategies yield statistically significant returns. Our results shed light on the role of inventory effects in daily stock price movements. (C) 2003 Elsevier B.V. All rights reserved.