Correlated Trading and Returns

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 pr...

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Veröffentlicht in:	The Journal of finance (New York) 2008-04, Vol.63 (2), p.885-920
Hauptverfasser:	DORN, DANIEL, HUBERMAN, GUR, SENGMUELLER, PAUL
Format:	Artikel
Sprache:	eng
Schlagworte:	Business orders Capital market Correlation analysis Empirical research Financial portfolios Financial research Germany Investment analysis Investment decision Investment effectiveness Investors Limit orders Liquidity Market orders Rates of return Securities trading Stock prices Stock sales Stock shares Studies Trade Trade volume
Online-Zugang:	Volltext
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