By Tarun Chordia
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Extra resources for Common Determinants of Liquidity and Trading
Simple behavioral arguments (such as fluctuations in investor mood or sentiment over the week) suggest that trading activity could show systematic intertemporal patterns. 16 To investigate such regularities, we included indicator variables for days of the week and for days preceding and following holiday closings. The concept of information-based trading (based on the asymmetric information paradigms of Kyle and of Admati and Pfleiderer 1988) suggests another group of proximate determinants. Because company-specific inside information is a more likely source than macroeconomic announcements for information-based trades, sensible proxies would be dummies for earnings announcement dates.
9, no. 1 (March):3–18. , and Jerold B. Warner. 1993. ” Journal of Financial Economics, vol. 34, no. 3 (December):281–306. , and Robert L. Hagerman. 1974. ” Journal of Financial Economics, vol. 1, no. 4 (December):353–364. Chalmers, John, and Gregory Kadlec. 1998. ” Journal of Financial Economics, vol. 48, no. 2 (May):159–188. , Narasimhan Jegadeesh, and Josef Lakonishok. 1996. ” Journal of Finance, vol. 51, no. 5 (December):1681–1713. Chordia, Tarun, Richard W. Roll, and Avanidhar Subrahmanyam.
44 ©2001, The Research Foundation of AIMR™ Appendix A. 0000 ©2001, The Research Foundation of AIMR™ 45 MKT+ MKT– MKT– MA5MKT+ MA5MKT– MA5|MKT| Mon. Tues. Weds. Thurs. 087 Common Determinants of Liquidity and Trading 46 Appendix B.