Workshop Series: Tarun Chordia
We study the relation between order imbalance and past returns and firm characteristics and test a number of hypothesis including the disposition effect, momentum and contrarian trading, tax-loss selling and flight-to-quality hypothesis. These hypotheses make predictions about investors' buy or sell decisions, but previous studies that test these hypotheses use turnover data that combine both buyer and seller-initiated trades. We find that investors behave as contrarians over short horizons and as momentum traders over longer horizons. We find strong support for seasonal tax induced trading but little evidence of flight-to-quality.
Professor Chordia is the R. Howard Dobbs Professor of Finance at the Goizueta Business School, Emory University. He obtained his doctorate in finance from UCLA in 1993 and was at the Owen Graduate School of Management at Vanderbilt University prior to joining Emory University in the fall of 2000. Prior to his doctoral studies, he worked for Citibank as a relationship and credit manager in the Financial Institutions Group. Professor Chordia's research interests include market microstructure and asset pricing. He has published extensively in the top finance journals including Journal of Business, Journal of Finance, Journal of Financial Economics, Journal of Financial Markets, Journal of Financial and Quantitative Analysis and the Review of Financial Studies. He is an editor of the Journal of Financial Markets. His teaching interests include corporate finance, investments, financial institutions and fixed income markets.