Are the flows of exchange-traded funds informative?

Are the flows of exchange-traded funds informative

The Capitalization Effect of Imputation Credits on Expected Stock Returns

This paper develops an equilibrium model featuring heterogeneity in investor risk tolerance across different risk sources. Using Australian data, it confirms the theoretical predictions of the model by showing that a higher imputation credit yield in one year leads to a lower stock return in the next year. This negative relationship between imputation credit yield and stock return is weaker for stocks with higher idiosyncratic risk, larger size, and higher trading turnover. Our theoretical and empirical evidence favours the aggregation approach in explaining the capitalization effect of imputation credits over the marginal investor approach

Persistence or reversal? The effects of abnormal trading volume on stock returns

Having established that portfolios derived from the extreme deciles of Abnormal Trading Volume (ATV) generate positive (negative) returns in the short (long) run, we devise a measure of Persistence in ATV (PATV) and provide an investor sentiment-based explanation for this return predictability. PATV leads to portfolio returns continuing to drift in the short run. However, the trading volumes of individual stocks in the portfolios gradually revert to their long-run means, accompanied by portfolio returns falling and turning negative as mispricing is corrected. We dismiss liquidity shocks, continuing overreaction, and investor disagreement and attention as explanations for the observed return predictability