Title : Why Do Stocks Move Together? : Evidence from Commonality in Order Imbalances
This paper studies the commonality in order imbalances of individual stocks. We estimate two types of common order imbalances –industry-related commonality and market maker-related commonality. Common order imbalances are highly correlated with common returns, and order imbalances are more common for the stocks with higher price sensitivity to order imbalances. We also find that the intercepts for the estimated Fama-French three factor model are significant when stocks are stratified into portfolios by their commonality in order imbalances. Interestingly, the book-to-market ratio isn’t much of a priced factor for the portfolios of stocks with highest commonality in order imbalances.
학회소식
학회소식
[2010년 제 4차] Why Do Stocks Move Together?
작성자 : 관리자
조회수 : 797
게시일 :
2010-12-09