Abstract

http://ssrn.com/abstract=1128377
 
 

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Is Order Imbalance Related to Information?


Sukwon Thomas Kim


University of California, Riverside

Hans R. Stoll


Vanderbilt University - Finance

November 16, 2009


Abstract:     
This paper studies the relation between information and stock order imbalance using corporate earnings announcements. Before information is publicly announced, order imbalance is positively correlated with forthcoming earnings surprises, but it does not have reliable predictive power. When information is announced, order imbalance moves in the same direction of earnings surprise, and maintains a positive correlation with the past earnings surprise for at least a week. We further find that order imbalances after earnings announcements do not contain other forthcoming information. However, these order imbalances have a similar effect on stock prices as informed order imbalances do.

Number of Pages in PDF File: 47

Keywords: Order imbalance, earnings, information, trading pressure, earnings surprise

JEL Classification: G10, G14, M41

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Date posted: May 5, 2008 ; Last revised: November 23, 2012

Suggested Citation

Kim, Sukwon Thomas and Stoll, Hans R., Is Order Imbalance Related to Information? (November 16, 2009). Available at SSRN: http://ssrn.com/abstract=1128377 or http://dx.doi.org/10.2139/ssrn.1128377

Contact Information

Sukwon Kim (Contact Author)
University of California, Riverside ( email )
900 University Ave
Riverside, CA 92521
United States
Hans R. Stoll
Vanderbilt University - Finance ( email )
401 21st Avenue South
Nashville, TN 37203
United States
615-322-3671 (Phone)
615-343-7177 (Fax)

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