Search Results for: Iso Order Imbalances And Individual Stock Returns

This paper studies the relation between intermarket sweep order, ISO, order imbalances and daily returns of individual stocks. I show that ISO order imbalances

This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a theoretical framework, whose disti

This paper examines common effects in monthly imbalances for New York Stock Exchange stocks over the period 1988 through 2004. Order imbalances for both individ

This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a theoretical framework, whose disti

There is a large stream of literature that documents one-month return reversal patterns for individual stocks. Some studies term this reversal pattern overreact