Abstract The present study investigates empirically whether trading imbalances affect cross-sectional stock returns in the Brazilian market. This question is particularly important in emerging markets, where there is strong evidence that order flows of institutional investors are persistent. The main contribution of this study is to price the effect of intraday imbalances through a variable that we call TIP (Trading Imbalance Picture) in an asset pricing regression. The analysis is carried out considering variations for enhanced corporate governance listing segments, economic sectors, and risk factors. The results suggest that trading imbalance strongly predicts stock returns in the cross-section, even after accounting for risk factors, firm characteristics and other liquidity measures, and a daily difference of 1% in TIP among stocks translates into a difference in required return of 6.96% per year.

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贸易不平衡，流动性和股票收益：来自巴西的证据

摘要本研究从经验上调查了贸易失衡是否会影响巴西市场的横断面股票收益。这个问题在新兴市场尤为重要，在新兴市场中，有充分的证据表明机构投资者的订单流是持久的。这项研究的主要贡献是通过在资产定价回归中称为TIP（交易不平衡图片）的变量对日内失衡的影响进行定价。进行分析时考虑了增强型公司治理上市细分市场，经济部门和风险因素的变化。结果表明，即使考虑了风险因素，公司特征和其他流动性指标，交易失衡仍会强烈预测横截面的股票回报，