LAUSR

Trading aggressiveness and market efficiency

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0 Published in 2020 at "Journal of Financial Markets"

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