Percent Buy-Sell Imbalance by Number of Trades 10 30 25 20 -Large Discount Brokerage --Large Retail Brokerage Small Discount Brokerage 15 10 1a 1b 2345678 Partitions of Stocks Sorted on Previous Day's Retur 9 10a 10b Percent Order Imbalance 25 20 15 10 5 -5 -10 -15 -20 -25 1a 1b "Momentum Manager Value Manager Diversified Manager 2 3 4 5 6 7 8 9 10a 10b Partitions of Stocks Sorted on Previous Day's Return