Order imbalance, liquidity, and market returns

A-Tier

Journal: Journal of Financial Economics

Year: 2002

Volume: 65

Issue: 1

Pages: 111-130

Authors (3)

Chordia, Tarun (not in RePEc) Roll, Richard (University of California-Los A...) Subrahmanyam, Avanidhar (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count