Explaining turn of the year order flow imbalance

Patricia L. Chelley-Steeley; Neophytos Lambertides; James M. Steeley

doi:10.1016/j.irfa.2015.05.028

Explaining turn of the year order flow imbalance

Patricia L. Chelley-Steeley, Neophytos Lambertides, James M. Steeley^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Original language	English
Pages (from-to)	76-95
Journal	International Review of Financial Analysis
Volume	43
Early online date	5 Jun 2015
DOIs	https://doi.org/10.1016/j.irfa.2015.05.028
Publication status	Published - 1 Jan 2016

Bibliographical note

Keywords

order flow imbalance
risk
turn of the year

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10.1016/j.irfa.2015.05.028

Turn of the year order flow imbalance
© 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Accepted author manuscript, 831 KBLicence: CC BY-NC-ND 3.0

Cite this

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title = "Explaining turn of the year order flow imbalance",

abstract = "The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.",

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N2 - The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

AB - The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

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Explaining turn of the year order flow imbalance

Abstract

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Keywords

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