Trading Imbalance, Liquidity and Stock Returns: Evidence from Brazil

References

• Aboody, D., & Lev, B. (2000). Information asymmetry, R&D, and insider gains. The Journal of Finance, 55(6), 2747–2766.
   Web of Science ®Google Scholar
• Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time series effects. Journal of Financial Markets, 5(1), 31–56. doi:10.1016/S1386-4181(01)00024-6
   Web of Science ®Google Scholar
• Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249. doi:10.1016/0304-405X(86)90065-6
   Web of Science ®Google Scholar
• Araújo, G. S., Barbedo, C. H. S., & Vicente, J. V. M. (2014). The adverse selection cost component of the spread of Brazilian stocks. Emerging Markets Review, 21(1), 21–41. doi:10.1016/j.ememar.2014.07.003
   Google Scholar
• Argolo, E. F. B., Leal, R. P. C., & Almeida, V. S. (2012). O modelo de Fama e French é aplicável no Brasil? Rio de Janeiro: COPPEAD.
   Google Scholar
• Back, K., Crotty, K., & Li, T. (2016). Estimating information asymmetry in securities markets (Working paper). Rice University.
   Google Scholar
• Barbedo, C. H., da Silva, E. C., & Leal, R. P. C. (2009). Probabilidade de informação privilegiada no mercado de ações, liquidez intradiária e níveis de governança corporativa. Revista Brasileira de Economia, 63(1), 49–60.
   Google Scholar
• Bauer, R., Pavlov, B., & Schotman, P. C. (2004). Panel data models for stock returns: The importance of industries. University of Maastricht, Report No WP03(8), 1–46.
   Google Scholar
• Biais, B., Hillion, P., & Spatt, C. (1995). An empirical analysis of the limit order book and the order flow in the Paris Bourse. The Journal of Finance, 50(5), 1655–1689. doi:10.2307/2329330
   Web of Science ®Google Scholar
• Boehmer, E., & Wu, J. (2008). Order flow and prices (Working paper). A&M Texas University.
   Google Scholar
• Brennan, M., & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41(3), 441–464.
   Web of Science ®Google Scholar
• Caixe, D. F., & Krauter, E. (2014). The relation between corporate governance and market value: Mitigating endogeneity problems. Brazilian Business Review, 11(1), 80–110. Retrieved from doi:10.15728/bbr.2014.11.1.5
   Google Scholar
• Camilo-da-Silva, E. (2009). Dois Ensaios Sobre Microestrutura de Mercado e Probabilidade de Informação Privilegiada no Mercado de Ações Brasileiro. 71 f. Tese (Doutorado) - Curso de Administração, COPPEAD, Rio de Janeiro.
   Google Scholar
• Campbell, J., Lo, A., & MacKinlay, C. (1997). The econometrics of financial markets. Princeton, NJ: Princeton University Press.
   Google Scholar
• Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. Retrieved from doi:10.1111/j.1540-6261.1997.tb03808.x
   Web of Science ®Google Scholar
• Charitou, A., & Panayides, M. (2009). Market making in international capital markets: Challenges and benefits of its implementation in emerging markets. International Journal of Managerial Finance, 5(1), 50–80. doi:10.1108/17439130910932341
   Google Scholar
• Chordia, T., Hu, J., Subrahmanyam, A., & Tong, Q. (2017). Order flow volatility and equity costs of capital. Management Science, 65(4), 1455–1947. doi:10.1287/mnsc.2017.2848
   Web of Science ®Google Scholar
• Chordia, T., Roll, R., & Subrahmanyam, A. (2002). Order imbalance, liquidity and market returns. Journal of Financial Economics, 65(1), 111–130. doi:10.1016/S0304-405X(02)00136-8
   Web of Science ®Google Scholar
• Chordia, T., Roll, R., & Subrahmanyam, A. (2005). Evidence on the speed of convergence to market efficiency. Journal of Financial Economics, 76(2), 271–292. doi:10.1016/j.jfineco.2004.06.004
   Web of Science ®Google Scholar
• Chordia, T., Roll, R., & Subrahmanyam, A. (2008). Liquidity and market efficiency. Journal of Financial Economics, 87(2), 249–268. doi:10.1016/j.jfineco.2007.03.005
   Web of Science ®Google Scholar
• Chordia, T., & Subrahmanyam, A. (2004). Order imbalance and individual stock returns: Theory and evidence. Journal of Financial Economics, 72(3), 485–518. doi:10.1016/S0304-405X(03)00175-2
   Web of Science ®Google Scholar
• Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591–605. doi:10.2307/1910133
   Web of Science ®Google Scholar
• Cochrane, J. (1999). New facts in finance, economic perspectives. Federal Reserve Bank of Chicago, 23, 36–58.
   Google Scholar
• Cont, R., Kukanov, A., & Stoikov, S. (2014). The price impact of order book events. Journal of Financial Econometrics, 12(1), 47–88. doi:10.1093/jjfinec/nbt003
   Web of Science ®Google Scholar
• Da-Silva-Júnior, C., & Machado, M. (2016). Aplicação do Modelo Alternativo de Três Fatores na Estimação dos Retornos das Ações do Mercado Brasileiro. Revista Universo Contábil, 1(3), 26–48. doi:10.4270/ruc.2016319
   Google Scholar
• Demsetz, H. (1968). The cost of transaction. The Quarterly Journal of Economics, 82(1), 33–53. doi:10.2307/1882244
   Web of Science ®Google Scholar
• Easley, D., Hvidkjaer, S., & O’Hara, M. (2002). Is information risk a determinant of asset returns?. The Journal of Finance, 57(5), 2185–2221. doi:10.1111/1540-6261.00493
   Web of Science ®Google Scholar
• Easley, D., López de Prado, M. M., & O’Hara, M. (2012). Flow toxicity and liquidity in a high-frequency world. Review of Financial Studies, 25(5), 1457–1493. doi:10.1093/rfs/hhs053
   Web of Science ®Google Scholar
• Ellis, K., Michaely, R., & O’Hara, M. (2000). The accuracy of trade classification rules: Evidence from Nasdaq. The Journal of Financial and Quantitative Analysis, 35(4), 529–551.
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x
   Web of Science ®Google Scholar
• Fama, E., & MacBeth, J. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636. doi:10.1086/260061
   Web of Science ®Google Scholar
• Finucane, T. A. (2000). Direct test of methods for inferring trade direction from intra-day data. The Journal of Financial and Quantitative Analysis, 35(4), 553–576. doi:10.2307/2676255
   Web of Science ®Google Scholar
• Froot, K., & Tjornhom, J. (2002). The persistence of emerging market equity flows. Emerging Markets Review, 3(4), 338–364. doi:10.1016/S1566-0141(02)00041-9
   Google Scholar
• Garman, M. (1976). Market microstructure. Journal of Financial Economics, 3(3), 257–275. doi:10.1016/0304-405X(76)90006-4
   Web of Science ®Google Scholar
• Glosten, L. R., & Milgrom, P. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14(1), 71–100. doi:10.1016/0304-405X(85)90044-3
   Web of Science ®Google Scholar
• Goodhart, C. A. E., & O’Hara, M. (1997). High frequency data in financial markets: Issues and applications. Journal of Empirical Finance, 4(2–3), 73–114. doi:10.1016/S0927-5398(97)00003-0
   Google Scholar
• Griffiths, M. D., Smith, B. F., Turnbull, D. A. S., & White, R. W. (2000). The costs and determinants of order aggressiveness. Journal of Financial Economics, 56(1), 65–88. doi:10.1016/S0304-405X(99)00059-8
   Web of Science ®Google Scholar
• Hanke, M., & Weigerding, M. (2015). Order flow imbalance effects on the German stock market. Business Research, 8(2), 213–238. doi:10.1007/s40685-015-0025-0
   Google Scholar
• Harris, L., & Hasbrouck, J. J. (1996). Market versus limit orders: The superdot evidence on order submission strategy. The Journal of Financial and Quantitative Analysis, 31(2), 213–231. doi:10.2307/2331180
   Web of Science ®Google Scholar
• Hautsch, N., & Huang, R. (2012). The market impact of a limit order. Journal of Economic Dynamics and Control, 36(4), 501–522. doi:10.1016/j.jedc.2011.09.012
   Web of Science ®Google Scholar
• Hollifield, B., Miller, R., & Sandas, P. (2004). Empirical analysis of limit order markets. Review of Economic Studies, 71(4), 1027–1063. doi:10.1111/j.1467-937X.2004.00313.x
   Web of Science ®Google Scholar
• Huang, H., Su, Y., & Liu, Y. (2014). The performance of imbalance-based trading strategy on tender offer announcement day. Investment Management and Financial Innovations, 11(2), 38–46.
   Google Scholar
• Huang, R. D., & Stoll, H. R. (1994). Market microstructure and stock return predictions. Review of Financial Studies, 7(1), 179–213. doi:10.1093/rfs/7.1.179
   Web of Science ®Google Scholar
• Huang, R. D., & Stoll, H. R. (1997). The components of the bid-ask spread. Review of Financial Studies, 10(4), 995–1034. doi:10.1093/rfs/10.4.995
   Web of Science ®Google Scholar
• Huang, Y. C., & Chou, J. H. (2007). Order imbalance and its impact on market performance: Order-driven vs. quote-driven markets. Journal of Business Finance & Accounting, 4(9–10), 1596–1614.
   Google Scholar
• Johnson, T. L., & So, E. C. (2018). A simple multimarket measure of information asymmetry. Management Science, 64(3), 1055–1080. doi:10.1287/mnsc.2016.2608
   Web of Science ®Google Scholar
• Kyle, A. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315–1335. doi:10.2307/1913210
   Web of Science ®Google Scholar
• Lao, L., Tian, S., & Zhao, Q. (2018). Will order imbalances predict stock returns in extreme market situations? Evidence from China. Emerging Markets Finance and Trade, 54(4), 921–934. doi:10.1080/1540496X.2016.1278364
   Web of Science ®Google Scholar
• Leal, R. P. C., & da Silva, A. L. C. (2007). Corporate governance and value in Brazil (and Chile). In A. Chong & F. Lopez-de-Silanes (Eds.), Investor protection and corporate governance: Firm level evidence across Latin America (pp. 213–287). Palo Alto, CA: Stanford University Press.
   Google Scholar
• Lee, C. M., & Ready, M. J. (1991). Inferring trade direction from intraday data. The Journal of Finance, 46(2), 733–746. doi:10.1111/j.1540-6261.1991.tb02683.x
   Web of Science ®Google Scholar
• Liew, J., & Vassalou, M. (2000). Can book-to-market, size and momentum be risk factors that predict economic growth?. Journal of Financial Economics, 57(2), 221–245. doi:10.1016/S0304-405X(00)00056-8
   Web of Science ®Google Scholar
• Lo, K., & Coggins, R. (2006). Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market. Pacific-Basin Finance Journal, 14(3), 291–310. doi:10.1016/j.pacfin.2005.09.002
   Google Scholar
• Machado, M. A. V., & Medeiros, O. R. (2011). Modelos de precificação de ativos e o efeito liquidez: Evidências empíricas no mercado acionário brasileiro. Brazilian Review of Finance, 9(3), 383–412. doi:10.12660/rbfin.v9n3.2011.2862
   Google Scholar
• Madhavan, A., Richardson, M., & Roomans, M. (1997). Why do security prices change? A transaction-level analysis of NYSE stocks. Review of Financial Studies, 10(4), 1035–1064. doi:10.1093/rfs/10.4.1035
   Web of Science ®Google Scholar
• Menkhoff, L., Osler, C., & Schmeling, M. (2010). Limit-order submissions strategies under asymmetric information. Journal of Banking & Finance, 34(11), 2665–2677. doi:10.1016/j.jbankfin.2010.05.007
   Web of Science ®Google Scholar
• Newey, W., & West, K. (1987). A simple, positive semi-definite, heteroscedastic and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. doi:10.2307/1913610
   Web of Science ®Google Scholar
• O’Hara, M. (1995). Market microstructure theory. Cambridge, MA: Basil Blackwell.
   Google Scholar
• Odders-White, E.R. (2000). On the occurrence and consequences of inaccurate trade classification. Journal of Financial Markets, 3(3), 259–286. doi:10.1016/S1386-4181(00)00006-9
   Google Scholar
• Rogers, P., & Securato, J.R. (2009). Estudo comparativo no mercado brasileiro do Capital Asset Pricing Model (CAPM): modelo 3-fatores de fama e french e Reward Beta Approach. RAC-Eletrônica, 3(1), 159–179.
   Google Scholar
• Rossoni, L., & da Silva, C. M. (2013). Legitimidade, governança corporativa e desempenho: Análise das empresas da BM&FBovespa. Revista de Administração de Empresas, 53(3), 272–289. Retrieved from doi:10.1590/S0034-75902013000300005
   Google Scholar
• Sandas, P. (2001). Adverse selection and competitive market making: Empirical evidence from a limit order market. Review of Financial Studies, 14(3), 705–734.
   Web of Science ®Google Scholar
• Silveira, A. D. M., & de Campos Barros, L. A. B. (2008). Determinantes da qualidade da governança corporativa das companhias abertas brasileiras. Revista Eletrônica de Administração, 14(3), 512–540.
   Google Scholar
• Spiegel, M., & Subrahmanyam, A. (1995). On intraday risk premia. The Journal of Finance, 50(1), 319–339. doi:10.1111/j.1540-6261.1995.tb05176.x
   Web of Science ®Google Scholar
• Stoll, H. R. (1978). The supply of dealer services in securities markets. The Journal of Finance, 33(4), 1133–1151. doi:10.1111/j.1540-6261.1978.tb02053.x
   Web of Science ®Google Scholar
• Tanggaard, C. (2003). Error in trade classification: Consequences and remedies (Finance Working Papers). Aarhus: University of Aarhus, Aarhus School of Business, Department of Business Studies.
   Google Scholar
• Theissen, E. (2001). A test of the accuracy of the Lee/Ready trade classification algorithm. Journal of International Financial Markets, Institutions & Money, 11(2), 147–165. doi:10.1016/S1042-4431(00)00048-2
   Google Scholar