How commonality persists? (Through investors' sentiment and attention)
Studies on commonality generally attribute the variation in asset returns to the variation in order flows. In this research study, we show that order flows do not predict asset returns, rather their relationship have been static over time. Thus we model both returns and the order flows as endogenous...
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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2023
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/7361 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8360/viewcontent/How_Commonality_Persists_through_Investors_Sentiment_and_Attention.pdf |
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Institution: | Singapore Management University |
Language: | English |
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