Explaining turn of the year order flow imbalance


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: College of Business and Social Sciences > Aston Business School > Accounting
College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > 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
Publication ISSN: 1873-8079
Last Modified: 05 Jan 2024 08:15
Date Deposited: 03 Sep 2015 11:30
Full Text Link:
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
PURE Output Type: Article
Published Date: 2016-01-01
Published Online Date: 2015-06-05
Accepted Date: 2015-05-31
Authors: Chelley-Steeley, Patricia L.
Lambertides, Neophytos
Steeley, James M. (ORCID Profile 0000-0003-0345-5089)

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