We study the relation between order imbalance and past returns and firm characteristics and testa number of hypothesis including the disposition effect, momentum and contrarian trading, taxlossselling and flight-to-quality hypothesis. These hypotheses make predictions about investors’buy or...

We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors buy or...

We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors' buy or...

We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, taxloss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors’ buy or...

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

There is as yet no consensus on why equity markets permit momentum, although the literatureproposes several explanations. Our analysis uses out-of-sample international datato consider a “horse race” across existing empirical proxies for momentum rationales usedby earlier studies. Our central...