Why commonality persists?

We show that order flows do not exhibit predictive power on asset returns, and their relationships have been static over time. We use a reduced-rank regression formulation to model both returns and the order flows as endogenous variables, and use investors' sentiment and attention as exogenous...

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Bibliographic Details
Main Authors: TEE, Chyng Wen, VELU, Raja, ZHOU, Zhaoque
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7096
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8095/viewcontent/Why_Commonality_Persists.pdf
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Institution: Singapore Management University
Language: English