Download or read book Analyst Following and Market Liquidity written by Darren T. Roulstone and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relation between analyst characteristics (number of analysts following a firm and their forecast dispersion) and market liquidity characteristics (bid-ask spreads and depths and the adverse-selection component of the spread). Prior research has found contradictory results on the relation between analyst following and market liquidity and has offered differing theories on how analysts affect liquidity. While prior research has posited analysts as proxies for privately informed trade or as signals of information asymmetry, I hypothesize that analysts provide public information, implying that analyst following (forecast dispersion) should have a positive (negative) association with liquidity. Cross-sectional simultaneous estimations provide support for this hypothesis. The results are both statistically significant and economically important. Granger-causality tests indicate that analyst characteristics lead market liquidity characteristics. These results clarify the role of analysts in providing information to financial markets and highlight benefits of increased analyst following.
Download or read book Audit Committee Accounting Expertise Analyst Following and Market Liquidity written by David B. Farber and published by . This book was released on 2019 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the relation between audit committee accounting expertise, analyst following, and market liquidity. Our main results indicate that analyst following increases subsequent to the appointment of an accounting expert to the audit committee. We also provide evidence that accrual quality, as opposed to audit quality or management earnings forecasts, is the channel through which accounting expertise increases analyst following and improves analyst forecast properties. We also show that audit committee accounting expertise is related to higher trading volume and lower liquidity risk, supporting incentives for greater analyst following. Our study extends prior literature by providing evidence that audit committee accounting expertise enhances firms' information environment beyond the effects it has on financial reporting quality or analysts' forecast properties. Our study also complements the literature on determinants of analyst following and market liquidity, both of which are related to cost of capital. Results from our study should be useful to firms seeking to enhance analyst following and market liquidity.
Download or read book Analyst Coverage Market Liquidity and Disclosure Quality written by Stefan Sundgren and published by . This book was released on 2016 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Disclosures in notes have been criticized by practitioners for being unwieldy and contributing little to the quality of the financial information. This study presents evidence on the association between disclosure quality, analyst following and liquidity in the real estate sector. More specifically, we study the disclosure of the methods and significant assumptions applied in determining fair values of investment properties under IAS 40 and IFRS 13. We find that disclosure quality is significantly higher under IFRS 13. Furthermore, we show that the quality is associated with analyst following and bid-ask spreads. However, the improved disclosures following the adoption of IFRS 13 are not associated with any significant positive economic consequences. This result indicates that the revised disclosure requirements in IFRS 13 did not solve any market imperfections.
Download or read book Advances in Investment Analysis and Portfolio Management written by Cheng-Few Lee and published by Elsevier. This book was released on 2001-09-14 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research annual publication intends to bring together investment analysis and portfolio theory and their implementation to portfolio management. It seeks theoretical and empirical research manuscripts with high quality in the area of investment and portfolio analysis. The contents will consist of original research on: The principles of portfolio management of equities and fixed-income securities. The evaluation of portfolios (or mutual funds) of common stocks, bonds, international assets, and options. The dynamic process of portfolio management. Strategies of international investments and portfolio management. The applications of useful and important analytical techniques such as mathematics, econometrics, statistics, and computers in the field of investment and portfolio management. Theoretical research related to options and futures. In addition, it also contains articles that present and examine new and important accounting, financial, and economic data for managing and evaluating portfolios of risky assets.
Download or read book Product Market Power and Stock Market Liquidity written by Jayant R. Kale and published by . This book was released on 2010 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory predicts that since a firm with market power has more stable cash flows because of its ability to set prices in the product market, its stock price is less sensitive to order flow (Peress, 2010), which results in greater stock liquidity. We test this prediction on a large sample of firms and find that stock liquidity increases with market power because market power reduces return volatility. Further, consistent with theoretical predictions, the impact of market power on liquidity is more pronounced when information asymmetry is more severe, that is, for smaller firms and for firms with less analyst coverage. Our findings are robust to different measures of liquidity, market power, volatility, and alternative econometric model specifications.
Download or read book Market Liquidity written by Christoph G. Rösch and published by . This book was released on 2012 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Liquidity and Firm Value written by Vivian W. Fang and published by . This book was released on 2013 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relation between stock liquidity and firm performance. The study documents that firms with liquid stocks have better performance as measured by the firm market-to-book ratio. This result is robust to the inclusion of industry or firm fixed effects, a control for idiosyncratic risk, a control for endogenous liquidity using two stage least squares, and the use of alternative measures of liquidity. To identify the causal effect of liquidity on firm performance, we study an exogenous shock to liquidity -- the decimalization of stock trading -- and document that the increase in liquidity around decimalization improves firm performance. The causes of liquidity's beneficial effect are investigated: Liquidity increases the information content of market prices and of performance sensitive managerial compensation. Finally, momentum trading, analyst coverage, investor overreaction, and the effect of liquidity on discount rates or expected returns do not appear to drive the results.
Download or read book Equity Markets in Action written by Robert A. Schwartz and published by John Wiley & Sons. This book was released on 2004-10-06 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.
Download or read book Aggregate Analyst Forecast Errors Stock Market Liquidity and the Economy written by Ji-Chai Lin and published by . This book was released on 2018 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine aggregate analyst forecast errors (AAFE) and find a systematic component, which is predictable using lagged stock market returns and macroeconomic variables. The evidence suggests that analysts do not fully take into account macroeconomic influences on individual firms' earnings in their forecasts, and that systematic biases in market expectations exist. Since informed investors may exploit over-optimistic (over-pessimistic) analyst earnings forecasts in their sells (buys), their trading affects stock prices, which induces uninformed investors to gradually revise their expectations and leave (enter) the market. As the number of uninformed investors decreases (increases), stock market liquidity deteriorates (improves). Based on this reasoning, we show that - predictable AAFE is a driving force of time-varying stock market liquidity - and also an important channel through which stock market liquidity incorporates macroeconomic information.
Download or read book Stock Market Liquidity written by François-Serge Lhabitant and published by John Wiley & Sons. This book was released on 2008-01-09 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Download or read book The Effect of Disclosure Level on the Cost of Equity Capital and Stock Market Liquidity written by Christine Ann Botosan and published by . This book was released on 1995 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The New Stock Market written by Merritt B. Fox and published by Columbia University Press. This book was released on 2019-01-08 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.
Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Download or read book The Incremental Impact of Analyst Initiation of Coverage written by Paul J. Irvine and published by . This book was released on 2003 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: I compare the return surrounding a sell-side analyst's initiation of coverage to the return surrounding a recommendation by an analyst who already covers the stock. The market responds more positively to analysts' initiations than to other recommendations. The incremental price impact of an initiation is 1.02% greater than the reaction to a recommendation by an analyst who already covers the stock. I examine whether the hypothesis that analyst coverage increases liquidity explains this incremental return. I find that liquidity improves after initiations, but that one must extend the liquidity hypothesis in order to fully explain the incremental price impact. Liquidity gains subsequent to analyst initiation depend on the analyst's recommendation. The more positive the initial recommendation, the greater the subsequent liquidity improvement. I also find that the initiation abnormal return correlates with the subsequent improvements in liquidity. Corporations should encourage analyst coverage to capture this liquidity benefit.
Download or read book Economic Effects of Transparency in International Equity Markets written by Mark Lang and published by Now Publishers Inc. This book was released on 2011 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph reviews the existing accounting, finance and economics literature on the economic effects of transparency in international equity markets, considers aspects of an international setting that make it an interesting environment for investigating these effects, and suggests directions for future research
Download or read book JOURNAL OF FINANCIAL MARKETS written by and published by . This book was released on 1998 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Transparency Liquidity and Valuation written by Mark H. Lang and published by . This book was released on 2016 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the relation between firm-level transparency, stock market liquidity, and valuation across a variety of international settings. We document lower transaction costs and greater liquidity (as measured by lower bid-ask spreads and fewer zero-return days) for firms with greater transparency (as measured by less evidence of earnings management, better accounting standards, higher quality auditors, more analyst following and more accurate analyst forecasts). The relation between transparency and liquidity is more pronounced in periods of high volatility, when investor protection, disclosure requirements, and media penetration are poor, and when ownership is more concentrated, suggesting that firm-level transparency matters more when overall investor uncertainty is greater. Increased liquidity is associated with lower implied cost of capital and with higher valuation as measured by Tobin's Q. Finally, a mediation analysis suggests that liquidity is a significant channel through which transparency affects firm valuation and equity cost of capital.
