Predictable liquidity properties in a Segmented, inelastic stock market
研究了正向反馈和反向交易两种投资策略对股票波动性和流动性的预测能力，发现不同投资者类型对市场有不同影响，且市场分割和供给缺乏弹性会干扰统计结果。
We explore the predictive capability of two investment strategies on idiosyncratic volatility, liquidity risk and liquidity commonality, by investor type. Investors are characterized as positive-feedback or contrarian once their trades are significantly associated with daily stock returns on a given month. We find that this classification has predictive power: positive-feedback traders (mainly foreign investors) tend to increase, while contrarian traders (mainly local individuals) tend to reduce, the following month’s volatility and liquidity. Different investor clienteles segment the market by stock characteristics, questioning linear cross-sectional pricing. Controlling for supply inelasticity we find that share issuance/buyback datapoints tilt some of the statistics and blur the findings.