Buyers versus Sellers: Who Initiates Trades and When?

37 Pages Posted: 10 Mar 2011

See all articles by Tarun Chordia

Tarun Chordia

Emory University - Department of Finance

Amit Goyal

University of Lausanne; Swiss Finance Institute

Narasimhan Jegadeesh

Emory University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: March 9, 2011

Abstract

We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors' buy or sell decisions, but previous studies that test these hypotheses use turnover data that combine both buyer and seller-initiated trades. We find that investors behave as contrarians over short horizons and as momentum traders over longer horizons. We find strong support for seasonal tax induced trading but little evidence of flight-to-quality.

Keywords: Order imbalance, turnover, disposition effect, momentum, tax-loss selling, flight-to-quality

JEL Classification: G14

Suggested Citation

Chordia, Tarun and Goyal, Amit and Jegadeesh, Narasimhan, Buyers versus Sellers: Who Initiates Trades and When? (March 9, 2011). Available at SSRN: https://ssrn.com/abstract=1782428 or http://dx.doi.org/10.2139/ssrn.1782428

Tarun Chordia

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States
404-727-1620 (Phone)
404-727-5238 (Fax)

Amit Goyal (Contact Author)

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
Switzerland
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)

HOME PAGE: http://www.hec.unil.ch/agoyal/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Narasimhan Jegadeesh

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States

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