Order Flow Volatility and Equity Costs of Capital
研究发现订单流波动性可作为信息不对称成本的代理变量，其水平与冲击能显著预测股票横截面收益，且对股价的影响在大盘股中一个月内反映，在小盘股中需四个月。
We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger announcements when information asymmetry is likely to be elevated. Levels of and shocks to order flow volatility are positively and significantly correlated with existing illiquidity proxies, and strongly predict stock returns in the cross section. The impact of order imbalance volatility shocks on stock prices is reflected within one month in large, visible stocks but takes up to four months to be fully reflected in small, “neglected” stocks. The Internet appendix is available at https://doi.org/10.1287/mnsc.2017.2848 . This paper was accepted by Gustavo Manso, finance.