Dynamic Volume-Return Relation of Individual Stocks

Llorente, Guillermo; Michaely, Roni; Saar, Gideon; Wang, Jiang

doi:10.3386/w8312

Cited by 73 publications

(109 citation statements)

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“…3 The second strand uses volume as a proxy for times when there are a large number of liquidity trades. Such papers include Campbell, Grossman, and Wang (1993), Llorente, Michaely, Saar, and Wang (2002), and Avramov, Chordia, and Goyal (2006). The third strand extends work with unsigned volume to signed order imbalances-see Subrahmanyam (2002, 2005), Chordia and Subrahmanyam (2004), Lee, Liu, Roll, and Subrahmanyam (2004), and Kaniel, Saar, and Titman (2008).…”

Section: Related Literaturementioning

confidence: 99%

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

Andrade

Chang

Seasholes

2008

Journal of Financial Economics

137

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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. r 2008 Published by Elsevier B.V.JEL classification: G12; G15

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Section: Related Literaturementioning

confidence: 99%

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

Andrade

Chang

Seasholes

2008

Journal of Financial Economics

137

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“…The study of serial correlation of asset returns is particularly important in financial economics, since it can reveal basic features of the trading process. The Efficient Market Hypothesis in its weakest form implies that asset returns should be serially uncorrelated, but there is pervasive evidence of serial autocorrelation in stock index returns (Lo and MacKinlay, 1988;Poterba and Summers, 1988) and stock portfolios (Conrad and Kaul, 1988;Mech, 1993), mixed evidence on stocks (Lo and MacKinlay, 1990b;Conrad and Kaul, 1989;Kim et al, 1991) and international assets (Patro and Wu, 2004), mainly depending on volumes and size (Llorente et al, 2002), while stock index futures display no autocorrelation, see Ahn et al (2002) and Pan et al (1997) for currency futures. There are many theoretical models and explanations, on one side to reconcile the presence of serial correlation with a rational framework, e.g.…”

Section: Introductionmentioning

confidence: 99%

Dynamics of intraday serial correlation in the Italian futures market

Bianco

Renò

2005

Journal of Futures Markets

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We study the serial correlation of high-frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000-2002. We find that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bid-ask bounce effect. While this supports the efficiency of the Italian futures market, we also provide evidence that intraday serial correlation becomes positive in high volatility regimes. Moreover we find that it is mainly unexpected volatility to make serial correlation rise, and not its predictable part. Our results are supportive of the Chan (1993) model.

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“…A more direct proxy for the information environment of stock trading is a measure based on informed stock trading volume. Following Ferreira (2008, 2009), we additionally employ the model developed by Llorente et al (2002) 12 to estimate informed stock trading. The untabulated results using informed stock trading are qualitatively unchanged.…”

Section: Alternative Measure Of Information Environmentmentioning

confidence: 99%

Does accounting conservatism improve the corporate information environment?

Zhang

2014

Journal of International Accounting, Auditing and Taxation

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This study investigates whether and how accounting conservatism improves the corporate information environment. We argue that conservatism facilitates the flow of firm-specific information from corporate insiders to outsiders and leads to a highquality information environment. Using the Basu (1997) model to capture the extent of accounting conservatism and firm-specific return variation to proxy for the quality of information environment, we find that conservatism is positively associated with the improvement of the corporate information environment in our sample of 43 countries. We also find that such an information role of conservatism is more pronounced in countries with weaker protection of private property rights, suggesting that conservatism substitutes for legal institutions in ensuring the quality of information environment. JEL classifications: G32; M41

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Dynamic Volume-Return Relation of Individual Stocks

Cited by 73 publications

References 0 publications

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

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

Dynamics of intraday serial correlation in the Italian futures market

Does accounting conservatism improve the corporate information environment?

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