HKUST Institutional Repository >
FINA Conference Papers >
Please use this identifier to cite or link to this item:
|Title: ||Market predictability and non-informational trading|
|Authors: ||Hendershott, Terrence|
Seasholes, Mark S.
|Keywords: ||Return predictability|
|Issue Date: ||11-Mar-2009 |
|Citation: ||Hendershott, Terrence; Seasholes, Mark S. (Dec 2008). Market Predictability and Non-Informational Trading. The 2008 HKUST Finance Symposium, 16-17 December 2008. The Hong Kong University of Science and Technology, Hong Kong, China|
|Abstract: ||This paper studies the ability of non-informational order imbalances (buy minus sell volume) to predict daily stock returns at the market level. Using a model with three types of participants (an informed trader, liquidity traders, and a finite number of arbitrageurs), we derive predictions relating returns to lagged returns and lagged order imbalances. Empirical tests using New York Stock Exchange non-informational basket/portfolio trading data provide results consistent with adverse selection at the market-level, but no evidence of limited risk-bearing capacity. Finally, we establish that these market-wide non-informational order imbalances also affect individual stock return comovement by examining additions to the S&P500 Index.|
|Appears in Collections:||FINA Conference Papers|
Files in This Item:
All items in this Repository are protected by copyright, with all rights reserved.