Book/Market Fluctuations, Trading Activity, and the Cross-section of Expected Stock Returns

Amber Anand, Avanidhar Subrahmanyam

Research output: Contribution to journalReview articlepeer-review

1 Scopus citations


We analyze trading activity accompanying equities’ switches from “growth” (low book-tomarket ratios (BMRs)) to “value” (high BMRs), and vice versa. We find that a large BMR increase, that is a shift from growth to value, is accompanied by a strongly negative small order imbalance (OIB). Large OIB exhibits weaker patterns across stocks that experience large changes in book/market. The evidence indicates that growth-to-value shifts are more strongly related to small traders than large ones. The interaction of BMRs with order flows plays a crucial role in return predictability. Specifically, the predictive ability of BMRs for future returns is significantly enhanced for those stocks that have experienced book/market increases as well as high levels of net selling by way of small orders.

Original languageEnglish (US)
Pages (from-to)3-22
Number of pages20
JournalReview of Behavioral Finance
Issue number1-2
StatePublished - Sep 21 2009


  • Book/market fluctuations
  • Order imbalances

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Strategy and Management


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