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Buyers Versus Sellers: Who Initiates Trades And When?

Tarun Chordia, Amit Goyal () and Narasimhan Jegadeesh
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Tarun Chordia: Emory University
Narasimhan Jegadeesh: Emory University

No 11-43, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, taxloss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors’ buy or sell decisions, but previous studies that test these hypotheses use turnover data that combine both buyer and seller-initiated trades. We find that investors behave as contrarians over short horizons and as momentum traders over longer horizons. We find strong support for seasonal tax induced trading but little evidence of flight-to-quality.

Keywords: Order imbalance; disposition effect; tax-loss selling (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2011-08
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Journal Article: Buyers versus Sellers: Who Initiates Trades, and When? (2016) Downloads
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