Journal article
Correlated trading and returns
The Journal of finance (New York), v 63(2), pp 885-920
01 Apr 2008
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably due to persistent speculative price pressure. Correlated limit orders also predict subsequent returns, consistent with executed limit orders being compensated for accommodating liquidity demands.
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Details
- Title
- Correlated trading and returns
- Creators
- Daniel Dorn - Drexel UniversityGur Huberman - Columbia Univ, Sch Business, New York, NY 10027 USAPaul Sengmueller - Tilburg Univ, CentER, Tilburg, Netherlands
- Publication Details
- The Journal of finance (New York), v 63(2), pp 885-920
- Publisher
- Wiley
- Number of pages
- 36
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:000254606700011
- Scopus ID
- 2-s2.0-41649095190
- Other Identifier
- 991019168399004721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics