A behavioral finance perspective on trade imbalance and stock prices: Evidence from Australian Clearinghouse Data

Extract: In this treatise, I examine the impact on stock prices of order and tradeimbalance. In three separate but closely related studies, I consider the extent towhich trade and order imbalance of specific investor categories influences andpredicts stock price changes. The literature motivating the study is primarilygrounded in behavioral finance, with some reference to experimental financeresults. An underlying goal of the treatise is to resolve the question of whether thetrading of individual investors, the class of investor most likely to be subject tomany of the behavioral biases used to explain asset pricing anomalies, affects stock prices.