Explaining turn of the year order flow imbalance

Chelley-Steeley, Patricia L., Lambertides, Neophytos and Steeley, James M. (2016). Explaining turn of the year order flow imbalance. International Review of Financial Analysis, 43 , pp. 76-95.

Abstract

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Publication DOI: https://doi.org/10.1016/j.irfa.2015.05.028
Divisions: Aston Business School > Accounting
Aston Business School > Economics finance & entrepreneurship
Aston Business School
Additional Information: © 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: order flow imbalance,risk,turn of the year,Economics and Econometrics,Finance
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Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2016-01-01
Authors: Chelley-Steeley, Patricia L.
Lambertides, Neophytos
Steeley, James M. ( 0000-0003-0345-5089)

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