Trading imbalances, predictable reversals, and cross-stock price pressure
Trading imbalances, predictable reversals, and cross-stock price pressure
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DOI：
10.1016/j.jfineco.2007.04.005
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发表时间：
2008-05
影响因子：
8.9
通讯作者：
Sandro C. Andrade;Charles Chang;Mark S. Seasholes
中科院分区：
文献类型：
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作者：
Sandro C. Andrade;Charles Chang;Mark S. Seasholes
我们测试了多资产均衡模型的影响，其中有限数量的规避风险的流动性提供者适应非信息交易失衡。这些失衡会导致股票收益出现可预测的逆转。一只股票的失衡也会影响其他股票的价格。股票交叉价格压力的大小取决于股票基础现金流的相关性。该模型意味着非信息交易增加了股票收益的波动性。我们使用台湾证券交易所的数据确认了该模型的含义。
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.