Download or read book ISO Order Imbalances and Individual Stock Returns written by Justin Cox and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the relation between intermarket sweep order, ISO, order imbalances and daily returns of individual stocks. I show that ISO order imbalances positively affect contemporaneous returns. Second, I find that price pressures emanating from ISO imbalances are persistent and result in predicting positive cumulative abnormal returns up to two months. The predictive power of ISO order imbalances on contemporaneous and future abnormal returns is stronger in small-sized firms. Finally, I analyze the herding among ISO order imbalances and find strong commonality exists in ISO order imbalances, particularly in large-sized firms. In contrast to previous studies, my results indicate that ISOs contribute to both short- and long-term price and return formation.