Download or read book Bid ask Spreads Around Earnings Announcements written by Douglas J. Skinner and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bid ask Spreads Around Earnings Announcements written by Daniella Acker and published by . This book was released on 2000 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book BID ASKS AROUND EARNINGS ANNOUNCEMENTS EVIDENCE FROM THE NASDAQ NATIONAL MARKET SYSTEM written by DOUGLAS J. SKINNER and published by . This book was released on 1993 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Earnings Announcements and the Components of the Bid Ask Spread written by Jason Lee and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the behavior of the components of the bid-ask spread around earnings announcements. The authors find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly decline during the same periods. Their results suggest that the directional change in the total bid-ask spread depends on the relative magnitudes of the changes in these three components. Specifically, the decreases in inventory holding costs and order processing costs imply that earnings announcements may have an insignificant impact on the total bid-ask spread, even when they result in increased information asymmetry.Copyright 1996 by American Finance Association.

Download or read book Option Strategies for Earnings Announcements written by Ping Zhou and published by FT Press. This book was released on 2012-10-15 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!

Download or read book The Speed of the Market Response to Earnings Announcements and the Bid ask Spread written by Thomas Rodney Noland and published by . This book was released on 1992 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trading on Corporate Earnings News written by John Shon and published by FT Press. This book was released on 2011-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.

Download or read book Earnings Announcements and the Components of the Bid ask Spread written by Itzhak Krinsky and published by . This book was released on 1996 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Adverse Selection Costs and the Dealers Bid ask Spread Around Earnings Announcements written by Niranjan H. Chipalkatti and published by . This book was released on 1993 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intra day Bid ask Spreads Surrounding Earnings Announcements and Information Asymmetry written by Sandeep Anubhai Patel and published by . This book was released on 1993 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impact of Intraday Timing of Earnings Announcements on the Bid Ask Spread and Depth written by Maarten Pronk and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Libby, Mathieu and Robb (2002) investigate, among other things, the impact of intraday timing of earnings announcements on the bid-ask spread and depth for a sample of firms listed on the Toronto Stock Exchange. They document, in a univariate setting, that the spread is relatively wider and the depth lower after announcements declared during non-trading hours than after announcements released during trading hours. This study extends their research by (a) investigating earnings announcements declared by firms traded on the NYSE or AMEX, (b) addressing this issue in a multivariate setting, (c) exploring before-open and after-close announcements separately, and (d) analyzing the impact by half-hour interval. Interestingly, my results indicate, opposite to the findings by Libby et al (2002), that the spread is relatively smaller and the depth higher after overnight announcements than after daytime announcements. These findings are robust to firm-specific factors, cross-listings, differences in the content of daytime and overnight releases, and intraday timing consistency. In addition, this effect occurs both after before-open and after-close announcements, and the analysis by half-hour interval reveals that the impact on the spread (depth) lasts for four (seven) trading half-hours.

Download or read book Market Microstructure in the UK the Behaviour of Bid ask Spreads Around Earnings Announcements written by Jeffrey Dean Wyshynski and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Changes in the Bid ask Components Around Earnings Announcements written by Torben Voetmann and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Relationship between Analyst Forecast Properties and Equity Bid Ask Spreads and Depths Around Quarterly Earnings Announcements written by Kiridaran (Giri) Kanagaretnam and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the relationships between three variables which proxy for the ex-ante level of information asymmetry - forecast dispersion, forecast revision volatility, and the level of analyst coverage, and equity bid-ask spread and depth changes around quarterly earnings releases. Kim and Verrecchia, 1994 suggest that earnings releases increase the level of information asymmetry and lower the level of liquidity in the security market. Using both an OLS regression framework and a simultaneous equations model, we examine whether equity bid-ask spreads increase and depths decrease as the level of information asymmetry increases. Our results indicate that spreads are higher (relative to a non-event period) around earnings announcements when information asymmetry is more pronounced; however, depths are lower only on the day following the announcement when there is greater information asymmetry. Relative spreads have a significant positive relation with both forecast dispersion and revision volatility and a significant negative relation with analyst coverage. Relative depths have a significant negative relation with forecast dispersion and a significant positive relation with analyst coverage. Our findings indicate that the equity specialist adjusts both spreads and depths when confronting informed traders around earnings releases and that these adjustments are more pronounced when the level of information asymmetry is greater.

Download or read book Earnings Predictability Information Asymmetry and Market Liquidity written by John Affleck-Graves and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relation between earnings predictability, information asymmetry and the behavior of the adverse selection cost component of the bid-ask spread around quarterly earnings announcements for NASDAQ firms. While we find an increase in the adverse selection component of the bid-ask spread on the day of and the day prior to quarterly earnings announcements for firms with less predictable earnings, we find no evidence of such changes for firms with more predictable earnings. During a non-announcement period, we find that firms with relatively less predictable earnings have consistently higher total bid-ask spreads than firms with more predictable earnings. This finding suggests that firms with relatively less predictable earnings have a higher cost of equity capital than comparable firms with more predictable earning streams, ceteris paribus. Hence, earnings predictability may be a legitimate concern of managers who wish to minimize their cost of equity capital at least as it pertains to bid-ask spreads.

Download or read book Information Based Trading Surrounding Earnings Announcements written by Joseph Berr Paperman and published by . This book was released on 1997 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Bid Ask Spread in the Danish Stock Market written by Torben Voetmann and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the cost components of bid-ask spreads around earnings announcements on the small Danish stock market in the 1990s. The results indicate that negative earnings surprises convey pricing information, suggesting the existence of significant information asymmetry between market makers and informed traders. Negative earnings surprises resulted in an increase in adverse-selection cost and trading volume while inventory-holding and order-processing costs decreased, leading to a combined decrease in the realized spread. The change in the realized spread is significant, while the change in the quoted bid-ask spread is negligible. Overall, the results suggest that informed traders' ability to assess firms' performance in the Danish stock market affects the bid-ask spread around announcements of earnings. The observed changes in cost components on the small Danish stock market are similar to those observed in larger and more active capital markets.