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 Spreads Depths and the Impact of Earnings Information written by Charles M. C. Lee and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 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 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 Price Formation and Liquidity in the U S Treasury Market written by Michael J. Fleming and published by . This book was released on 1997 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer"--Abstract.
Download or read book Bid Ask Spreads Around Earnings Announcements written by Daniella Acker and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the determinants of bid-ask spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily spreads are affected by order processing costs (proxied by trading volumes), inventory control costs (trading volumes and return variability) and asymmetric information (unusually high trading volumes). Spreads start to narrow 15 days before an earnings announcement, and narrow further by the end of the announcement day. We also identify a puzzling phenomenon. There is only a 'sluggish' recovery of spreads after the announcement: spreads continue to remain at relatively narrow levels, and take up to 90 days to recover to their pre-announcement width.
Download or read book Stock Market Liquidity and Information Asymmetry Around Voluntary Earnings Announcements written by Faten Lakhal and published by . This book was released on 2005 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies market liquidity and stock prices components of information asymmetry around non-mandated earnings announcements by focusing on effective bid-ask spreads and trading volumes. Using event study methodology for 309 voluntary earnings announcements from 1998 to 2001, we found that voluntary earnings disclosures exhibit significant stock market reactions around news releases. We also noticed a significant decrease in effective spreads and an increase in trading volumes when good and bad news are released. Moreover, investors react more aggressively to bad news announcements suggesting that these news are more credible. Panel-data regression analyses were also used to examine both categories of voluntary earnings announcements: earning forecasts and quarterly earning announcements separately. They show that quarterly announcements enhance market liquidity by reducing bid-ask spreads and increasing trading volumes in the announcement window. However, earnings forecasts exacerbate information asymmetry before and after the announcement date. This result suggests that earning forecasts are subject to earning manipulation and less credible, then for the market.
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 Intraday Market Dynamics Around Public Information Arrivals written by Angelo Ranaldo and published by . This book was released on 2013 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that traders actively monitor and promptly react to the real-time information flow. The news impact depends on which type of news bulletin is released. Only earnings announcements and news items causing extreme price disruptions enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets that are able to provide additional liquidity during information events.
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 option trading and earnings news dissemination written by kaushik i. amin and charles m.c. lee and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading written by Chiraphol N. Chiyachantana and published by . This book was released on 2013 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level of information asymmetry. Second, retail trading activity increases dramatically after earnings announcements, but there is a significant decline in institutional trading surrounding earnings announcements, particularly in the pre-announcement period. Last, the decline in information asymmetry around earnings announcements is closely associated with a lower participation rate in the pre-announcement period and more active trading of retail investors after earnings releases.
Download or read book Trading on Corporate Earnings News Profiting from Targeted Short Term Options Positions written by John Shon and published by Pearson Education India. This book was released on 2011 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Earnings Quality written by Jennifer Francis and published by Now Publishers Inc. This book was released on 2008 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This review lays out a research perspective on earnings quality. We provide an overview of alternative definitions and measures of earnings quality and a discussion of research design choices encountered in earnings quality research. Throughout, we focus on a capital markets setting, as opposed, for example, to a contracting or stewardship setting. Our reason for this choice stems from the view that the capital market uses of accounting information are fundamental, in the sense of providing a basis for other uses, such as stewardship. Because resource allocations are ex ante decisions while contracting/stewardship assessments are ex post evaluations of outcomes, evidence on whether, how and to what degree earnings quality influences capital market resource allocation decisions is fundamental to understanding why and how accounting matters to investors and others, including those charged with stewardship responsibilities. Demonstrating a link between earnings quality and, for example, the costs of equity and debt capital implies a basic economic role in capital allocation decisions for accounting information; this role has only recently been documented in the accounting literature. We focus on how the precision of financial information in capturing one or more underlying valuation-relevant constructs affects the assessment and use of that information by capital market participants. We emphasize that the choice of constructs to be measured is typically contextual. Our main focus is on the precision of earnings, which we view as a summary indicator of the overall quality of financial reporting. Our intent in discussing research that evaluates the capital market effects of earnings quality is both to stimulate further research in this area and to encourage research on related topics, including, for example, the role of earnings quality in contracting and stewardship.
Download or read book Earnings News and the Small Trader written by Charles M. C. Lee and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
