A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006)

Brad M. Barber, Søren Hvidkjær, Terrance Odean, Ning Zhu

Publikation: Working paperForskning

Resumé

Barber, Odean and Zhu (BOZ, 2006) and Hvidkjaer (2006) construct portfolios based on the relative frequency of small buyer- and seller-initiated transactions on the NYSE, Amex and Nasdaq. Both studies find that stocks with small-trade selling pressures over the prior year outperform those with buying pressures. Hvidkjaer (2006) finds a similar pattern for one month returns using trading imbalances measured over the prior one month. By contrast, BOZ (2006) find the opposite pattern for one week returns using trading imbalances measured over the prior one week, namely that stocks with past smalltrade buying pressures outperform those with selling pressures. The short-term results are not necessarily contradictory, but certainly worthy of further scrutiny. The purpose of this note isto reconcile the two results. Using the imbalance measure in Hvidkjaer (2006) for the analysis at the one-week level, we find qualitatively identical results to those reported in BOZ (2006). However, the measure in Hvidkjaer (2006) produces a faster reversal from initially high to subsequent low returns for the buying pressure portfolio. We find that differences in small-trade volume between the measures in BOZ (2006) and Hvidkjaer explain this faster reversal. Once we control for small-trade volume, we find very similar results at the one-month level using the two measures.
OriginalsprogEngelsk
Udgivelses stedBerkeley, CA
UdgiverHaas School of Business
Antal sider9
StatusUdgivet - sep. 2006
Udgivet eksterntJa

Citer dette

Barber, B. M., Hvidkjær, S., Odean, T., & Zhu, N. (2006). A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006). Berkeley, CA: Haas School of Business.
Barber, Brad M. ; Hvidkjær, Søren ; Odean, Terrance ; Zhu, Ning. / A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006). Berkeley, CA : Haas School of Business, 2006.
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abstract = "Barber, Odean and Zhu (BOZ, 2006) and Hvidkjaer (2006) construct portfolios based on the relative frequency of small buyer- and seller-initiated transactions on the NYSE, Amex and Nasdaq. Both studies find that stocks with small-trade selling pressures over the prior year outperform those with buying pressures. Hvidkjaer (2006) finds a similar pattern for one month returns using trading imbalances measured over the prior one month. By contrast, BOZ (2006) find the opposite pattern for one week returns using trading imbalances measured over the prior one week, namely that stocks with past smalltrade buying pressures outperform those with selling pressures. The short-term results are not necessarily contradictory, but certainly worthy of further scrutiny. The purpose of this note isto reconcile the two results. Using the imbalance measure in Hvidkjaer (2006) for the analysis at the one-week level, we find qualitatively identical results to those reported in BOZ (2006). However, the measure in Hvidkjaer (2006) produces a faster reversal from initially high to subsequent low returns for the buying pressure portfolio. We find that differences in small-trade volume between the measures in BOZ (2006) and Hvidkjaer explain this faster reversal. Once we control for small-trade volume, we find very similar results at the one-month level using the two measures.",
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Barber, BM, Hvidkjær, S, Odean, T & Zhu, N 2006 'A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006)' Haas School of Business, Berkeley, CA.

A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006). / Barber, Brad M.; Hvidkjær, Søren; Odean, Terrance; Zhu, Ning.

Berkeley, CA : Haas School of Business, 2006.

Publikation: Working paperForskning

TY - UNPB

T1 - A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006)

AU - Barber, Brad M.

AU - Hvidkjær, Søren

AU - Odean, Terrance

AU - Zhu, Ning

PY - 2006/9

Y1 - 2006/9

N2 - Barber, Odean and Zhu (BOZ, 2006) and Hvidkjaer (2006) construct portfolios based on the relative frequency of small buyer- and seller-initiated transactions on the NYSE, Amex and Nasdaq. Both studies find that stocks with small-trade selling pressures over the prior year outperform those with buying pressures. Hvidkjaer (2006) finds a similar pattern for one month returns using trading imbalances measured over the prior one month. By contrast, BOZ (2006) find the opposite pattern for one week returns using trading imbalances measured over the prior one week, namely that stocks with past smalltrade buying pressures outperform those with selling pressures. The short-term results are not necessarily contradictory, but certainly worthy of further scrutiny. The purpose of this note isto reconcile the two results. Using the imbalance measure in Hvidkjaer (2006) for the analysis at the one-week level, we find qualitatively identical results to those reported in BOZ (2006). However, the measure in Hvidkjaer (2006) produces a faster reversal from initially high to subsequent low returns for the buying pressure portfolio. We find that differences in small-trade volume between the measures in BOZ (2006) and Hvidkjaer explain this faster reversal. Once we control for small-trade volume, we find very similar results at the one-month level using the two measures.

AB - Barber, Odean and Zhu (BOZ, 2006) and Hvidkjaer (2006) construct portfolios based on the relative frequency of small buyer- and seller-initiated transactions on the NYSE, Amex and Nasdaq. Both studies find that stocks with small-trade selling pressures over the prior year outperform those with buying pressures. Hvidkjaer (2006) finds a similar pattern for one month returns using trading imbalances measured over the prior one month. By contrast, BOZ (2006) find the opposite pattern for one week returns using trading imbalances measured over the prior one week, namely that stocks with past smalltrade buying pressures outperform those with selling pressures. The short-term results are not necessarily contradictory, but certainly worthy of further scrutiny. The purpose of this note isto reconcile the two results. Using the imbalance measure in Hvidkjaer (2006) for the analysis at the one-week level, we find qualitatively identical results to those reported in BOZ (2006). However, the measure in Hvidkjaer (2006) produces a faster reversal from initially high to subsequent low returns for the buying pressure portfolio. We find that differences in small-trade volume between the measures in BOZ (2006) and Hvidkjaer explain this faster reversal. Once we control for small-trade volume, we find very similar results at the one-month level using the two measures.

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PB - Haas School of Business

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Barber BM, Hvidkjær S, Odean T, Zhu N. A Comparison of the Results in Barber, Odean, and Zhu (2006) and Hvidkjaer (2006). Berkeley, CA: Haas School of Business. 2006 sep.