Avanidhar Subrahmanyam

Learn More
We propose a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)). In a sample of Russell 3000 stocks from 2004 to 2008, we find that SVI (1) is correlated with but different from existing proxies of investor attention; (2) captures investor attention in a more timely fashion and (3) likely measures the(More)
  • Ekkehart Boehmer, Charles M Jones, Xiaoyan Zhang, Doug Diamond, Amy Edwards, Joel Hasbrouck +5 others
  • 2008
We construct a long daily panel of short sales using proprietary NYSE order data. From 2000 to 2004, shorting accounts for more than 12.9% of NYSE volume, suggesting that shorting constraints are not widespread. As a group, these short sellers are well informed. Heavily shorted stocks underperform lightly shorted stocks by a risk-adjusted average of 1.16%(More)
  • Michael W Brandt, Pedro Santa-Clara, Rossen Valkanov, Michael Brennan, Kent Daniel, Rob Engle +12 others
  • 2005
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over the sample period. Our approach is computationally(More)
A ¯rm's resources are di±cult to identify and imitate. Firms learn about their resources by undertaking real investments and observing the outcomes. The types of real investments a ¯rm will make depends on what the ¯rm is expected to learn from the outcomes of these investments and the real options that are available for it to exploit in the future. We(More)
The capacity of an asset market to accommodate order imbalances, a measure of market efficiency, is inversely related to the predictability of returns from previous order flows. For a comprehensive sample of NYSE stocks that traded every day from 1993 through 2002, we find that very short-term (five-minute) return predictability is strong on average but has(More)
  • Andrew Ellul, Marios Panayides, Leonce Bargeron, Robert Battalio, Utpal Bhattacharya, Ekkehart Boehmer +21 others
  • 2016
Acknowledgments: We are grateful for comments made Abstract By collecting and disseminating price sensitive information, financial analysts should reduce firm insiders' informational advantage with a consequent impact on trading dynamics and market quality. We empirically examine the impact of complete analysts' coverage termination on stocks' liquidity,(More)
We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 18 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the " correct " direction about 30 minutes before the release time. The pre-announcement price drift(More)
We test theoretical models of how investors should trade on short-lived private information. Our empirical identification rests on information leakage that occurs before analyst recommendations are publicly announced. Consistent with the theory, institutions, who likely possess a short-lived informational advantage, " buy the rumor and sell the news, "(More)
There is reason to believe that market makers may react asymmetrically to purchases and sales on account of their tendency to hold positive inventories. We estimate separate buy-and sell-side price impact measures for a large cross-section of stocks over more than 20 years. We find pervasive evidence that sell-side illiquidity exceeds buy-side illiquidity.(More)