Yashar Barardehi

Chapman University - Argyros School of Business & Economics

News mostly drive overnight returns, whereas investors' trading mostly drives intraday returns. We use this fact to test theories of momentum and reversal with a sample of intraday and overnight returns spanning 1926 to 2019. Portfolios formed on past intra-day returns display short-term reversal and momentum without long-term reversal. In contrast...

Amihud’s stock (il)liquidity measure averages daily ratios of the absolute close-to-close return to dollar volume, including overnight returns. Our modified measure uses open-to-close returns matching return and trading volume measurement windows. It is more strongly correlated with trading-cost measures (by 8%–37%) and better explains cross-sectio...

Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies for trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures better capture institutional trading costs and better explain the cross-section of returns than do stand...

We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always, due to endogenous variation in liquidity provision and consumption. After controlling for this endo...