I examine the relation between intermarket sweep order (ISO) order imbalances and the daily returns of individual stocks. First, I show that ISO order imbalances are positively related to contemporaneous returns. Second, I find that price pressures emanating from ISO imbalances are persistent and predict cumulative abnormal returns up to 2 months. The predictive power of ISO order imbalances on contemporaneous and future abnormal returns is strongest for firms in the smallest firm size quintile. Finally, I analyze herding among ISO order imbalances and find strong commonality. My results indicate that ISOs contribute to both short‐ and long‐term return formation.

中文翻译：

---

ISO订单失衡和单个库存退货

我研究了市场间清仓单（ISO）订单失衡与单个股票的每日收益之间的关系。首先，我证明了ISO订单失衡与同期收益呈正相关。其次，我发现ISO失衡产生的价格压力持续存在，并预测长达2个月的累积异常收益。对于最小公司规模五分之一的公司，ISO订单不平衡对同期和未来异常收益的预测能力最强。最后，我分析了ISO订单不平衡之间的从群现象，并发现了很强的共性。我的结果表明，ISO对短期和长期回报形成都有贡献。