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...
Saved in:
| Main Authors: | , , |
|---|---|
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |