Correlated Trading and Returns
Daniel Dorn,
Gur Huberman and
Paul Sengmueller
Journal of Finance, 2008, vol. 63, issue 2, 885-920
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.
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (84)
Downloads: (external link)
https://doi.org/10.1111/j.1540-6261.2008.01334.x
Related works:
Working Paper: Correlated Trading and Returns (2007) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:63:y:2008:i:2:p:885-920
Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp
Access Statistics for this article
More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().