Tuesday, January 24, 2012
Corporate Finance and Investment Banking News
Finance Professor Ken Kavajecz recently published a study with Alessandro Beber of the Cass Business School and Michael Brandt of the Fuqua Business School at Duke University about portfolio rebalancing.
In the study the professors look at using orderflow data rather than other forms for portfolio balancing in order to invest in the markets.
According to Kavajecz and his contemporaries, orderflow data includes more "information" in it. This allows for better predicting methods. For example, it can help to better predict economic and market movements.
“It’s very difficult to pin down the specific reasons why flows are much more informative, but it’s clear from our data that they are, therefore there must be some sort of friction that prevents all the information that is in the orders showing up in the returns," co-author Beber said in a recent article in the Financial Times.
To read the study, click here.