Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions
By David Ardia, Clément Aymard, Tolga Cenesizoglu
Rating
1561
Battle Count: 127
Relevance
9/10
Highly relevant for understanding retail order flow and its impact on short-term return predictability
Implementation Complexity
6/10
Requires access to high-frequency trading data and implementation of complex trade classification algorithms
Reproducibility
5/5
The paper provides a detailed replication of the original study and extends it with new data and methods
About this paper
Methodology: Empirical Analysis and Replication. Problem types: Regression, Time Series Analysis, Return Predictability.
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