Risk Sharing, Costly Participation,and Monthly Returns
本文檔由 成光son 分享于2010-08-31 16:51
Papers from the last ve years show that:i) Market makers´ inventories predict future returns at daily and weekly horizons; ii) Bothindividuals and market makers trade against price movements on the New York Stock Exchange(NYSE); iii) Individuals´ order imbalances (net trades) on the NYSE predict returnsat weekly and monthly horizons; and iv) I..