A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is
This paper studies the impact of algorithmic trading (AT) on asset prices. We find that the heterogeneity of algorithmic traders across stocks generates predictable patterns in stock returns. A trading strategy that exploits the AT return predictability generates a monthly risk-adjusted performance between 50-130 basis points for the period 1999 to 2012. We find that stocks with lower AT have higher returns, after controlling for standard market-, size-, book-to-market-, momentum, and liquiditydoi:10.2139/ssrn.2348418 fatcat:rcyprnzilvgwbk5hhpj7h5a3ru