Hendershott, Terrence; Seasholes, Mark S. - In: Journal of Banking & Finance 45 (2014) C, pp. 140-151
This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers) using a six-year panel of NYSE data. Trades of each group are negatively correlated with contemporaneous price changes. To test for return predictability, we sort stocks into...