We have 2 of 58 papers
We haven’t gathered this author’s papers yet. Follow them and we’ll fetch their work.
Not the right person? Other researchers publish under this name.
This work proposes a four-layer framework (Policy, Engineering, Composition, Systemic) grounded in two distinct kinds of evidence, kept explicitly separate, and provides a 90-day implementation sequence spanning trading and payments/customer-facing systems.
We estimate Kyle's (1985) price-impact coefficient $\lambda$ directly from daily equity order flow and test its ability to forecast the cross-section of subsequent stock returns. Using CRSP data from 2020 to 2025, we construct firm-month measures of signed order flow and two estimators of $\hat\lambda_{it}$: a within-month price-impact regression and an Amihud-style ratio. Signed order flow strongly predicts contemporaneous and one-month-ahead returns, while volume volatility predicts lower subsequent returns, consistent with widening price impact degrading price discovery. Fama-MacBeth regressions confirm that our order-flow signal carries significant cross-sectional return information after Newey--West adjustment. Theoretically, we resolve the liquidity premium puzzle of Constantinides (1986) through an adverse-selection mechanism: low order flow widens $\lambda$ and depresses prices today; subsequent normalization restores prices, generating the illiquidity premium without risk-based compensation.
We use cookies to run the site and, with your consent, for analytics and to show ads. See our Cookie Policy.
