Trading aggressiveness and market efficiency
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DOI: 10.1016/j.finmar.2019.100515
Abstract: Stein (2009) shows that crowding by sophisticated traders can cause price overreaction. To test Stein's theory, in this paper I use trading aggressiveness after earnings releases as a measure of crowding. With a large number… read more here.
Keywords: market; market efficiency; trading aggressiveness; news ... See more keywords