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...

We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. Our test market is the crude oil futures market. Prices rise when analysts forecast a decrease (increase) in crude supplies. In the 15 minutes following supply realizations, prices...

We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. The straight‐forward relationship between supply and price, the economic importance of the market, the predictable timing of forecast error realizations, and the high frequency of...

This paper investigates basis spreads on index futures listed on the Taiwan Futures Exchange. We analyze the role of speculators and of informed trading in Taiwan's futures market using intraday data during the five-day pre-expiration period. We demonstrate that liquidity, volatility, and...

Cash-futures basis, a proxy for arbitrage opportunities, is examined, and the impact of informed trading and the changing roles of speculators and arbitrageurs are analyzed in both the non-expiration and near-expiration periods. While we observe that market frictions account to some extent for...

In this paper, we explore how US financial firms trade relative to their own equity analyst recommendations. In the quarter-of and that immediately follow a recommendation, firm trades are significantly positively related to recommendation changes. This relation is robust to controls for...

This study examines herding surrounding qualified foreign institutional investors (QFIIs) in an emerging equity market. Using five years of weekly order flow data, I find that, when QFIIs increase (decrease) their weightings in particular sectors, dealers', margin traders', and mutual funds'...