Stock returns, illiquidity and feedback trading
نویسندگان
چکیده
منابع مشابه
Aggregate Insider Trading and Future Stock Returns – International Evidence
In this study, I investigate the informativeness of aggregate equity purchases and sales by senior corporate officers and directors in a sample of 39 countries. I find that countrylevel insider trading signals are associated with future country-level market returns, controlling for other contemporaneous signals such as country-level earnings guidance and analysts’ forecasts, and risk factors su...
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Assuming that the variance of daily price changes and trading volume are both driven by the same latent variable measuring the number of price-relevant information arriving on the market, the Mixture of Distribution Hypothesis (MDH) represents an intuitive and appealing explanation for the empirically observed correlation between volume and volatility of speculative assets. This paper investiga...
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This paper tries to find a widely accessible measure of liquidity and studies its impact on asset pricing. Using trading turnover as a measure of liquidity and the 19761993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks with higher turnover tend to have a lower expected return. This evidence is consistent with predictions derived from an Amihud-Mendelson type of transaction c...
متن کاملRelationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets
We examined the effects of trading volume on the persistence of the time-varying conditional volatility of returns and the dynamic relations between trading volume and returns (and volatility) for both domestic and cross-country markets. We considered daily prices and trading volume in four Asian stock exchanges (Korea, Japan, China, and Hong Kong). For the analysis, we used the GARCH model, wh...
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ژورنال
عنوان ژورنال: Review of Accounting and Finance
سال: 2020
ISSN: 1475-7702,1475-7702
DOI: 10.1108/raf-02-2017-0024