Order flow volatility and equity costs of capital

• المؤلفون الرئيسيون: CHORDIA, Tarun, HU, Jianfeng, SUBRAHMANYAM, Avanidhar, TONG, Qing
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Order flow; required returns; expected returns; Business; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/4552; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5551/viewcontent/OrderFlowVolatilityEquityCostsCapital_2016_wp.pdf

We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger announ...