Download or read book Pre Disclosure Information Asymmetry and Information Content as a Means of Explaining Trading Volume Responses to Interim Earnings Announcements in a Thinly Traded Stock Market written by Markku J. Vieru and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study contains empirical findings regarding the effect of interim earnings announcements on investors' trading behavior. The aim of the paper is to empirically investigate whether the trading volume reaction to an interim earnings announcement is associated with the information content of the announcement and the existence of pre-disclosure information asymmetry in the Finnish stock market. The reason for using Finnish data is to establish whether findings from the US in respect of explaining volume inducement around an information event also hold in thin security markets. Pre-disclosure information asymmetry is proxied by the range in analysts' earnings forecasts. Information content is proxied by beta-adjusted returns and the divergence in reported EPS from analysts' mean EPS forecast. The data consist of 118 interim earnings announcements released by 21 firms traded on the Helsinki Stock Exchange (HSE) between 1992 and 1996. It was found that the trading volume reaction is positively associated with the information content of an announcement and also to some extent with the level of pre-disclosure information asymmetry. These results are in line with Kim and Verrecchia's theoretical trading volume proposition and with empirical findings in the US markets. Thus, previous findings produced in more developed stock markets with respect to volume generation around earnings announcements also seem to be applicable to thin markets. However, the significance levels are lower than in similar US studies and the association between positive and negative news is slightly asymmetric.
Download or read book journal of multinational financial management written by and published by . This book was released on 2002 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Insider Trading Disclosure Information Asymmetry and Differential Earnings Relevance as Indicated By Trading Volume written by Donn W. Vickrey and published by . This book was released on 2007 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use buy and sell signals derived from insider trading disclosures to identify experimental-group cases in which decreases in earnings-related predisclosure information asymmetry have arisen through the use of the disclosures. For each experimental firm, each earnings-announcement date is preceded, within 90 days, by at least 2 specific buy or 2 specific sell signals, while none of these signals occurs within 90 days of any control group earnings-announcement date. Our null hypothesis is that mean differences in experimental and control group earnings-announcement-period trading volumes are greater than or equal to similar mean differences occurring over contiguous non-announcement periods. Rejection of our null, for various periods, implies less earnings relevance for our experimental group vis-agrave;-vis our control group as a consequence of decreases in earnings-related predisclosure information asymmetry for the latter. This result is consistent with the view that changes in firms' information environments are the most pervasive factor explaining secular changes in earnings relevance.
Download or read book The Changing Nature of Trading Volume Reactions to Earnings Announcements written by Richard A. Schneible Jr. and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document a change in the nature of trading volume reactions to quarterly earnings announcements over the time period 1976-2005. Consistent with Landsman and Maydew (2002), we find that the magnitude of abnormal trading volume around quarterly earnings announcements has increased over time and that this increase is greater for large firms than small firms. We show, however, that this trend has reversed the negative relation between firm size and trading volume documented by Bamber (1987). Applying insights from recent trading volume theory, we predict and provide evidence that the increase in abnormal trading volume across time and firm size is due to increases in pre-announcement private information. Specifically, we show that the component of abnormal trading volume associated with price change, which theory suggests reflects pre-announcement private information, is increasing across time and firm size. Our results suggest that investors are motivated to acquire private information prior to earnings announcements about firms that have relatively high quality information environments. Thus, our results have implications for policies aimed at reducing information asymmetry between investors by increasing public disclosure.
Download or read book Aanwinsten van de Centrale Bibliotheek Queteletfonds written by Bibliothèque centrale (Fonds Quetelet) and published by . This book was released on 1999 with total page 1408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Interim Earnings Announcements on the Permanent Price Effects of Trades on the Helsinki Stock Exchange written by Markku J. Vieru and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary goal of this paper is to study whether the permanent price impact of large trades are greater before or after an interim earnings announcement on the Helsinki Stock Exchange. If the permanent price effects of large trades are greater before the announcement this would suggest that investors believe that some traders are better informed before the interim earnings announcement than after. Theoretical support is available that information asymmetry is greater prior to earnings announcements than after. The anticipation of a forthcoming public announcement stimulates the acquisition of private information, causing an increase in information asymmetry. This increase is facilitated by the flow of earnings-related information to the market (e.g., via pre-announcement communications by firms, actual earnings announcements of competitors, etc.). Thus investors gather information, make assessments, and form trading positions accordingly. In addition, compared to individuals (small investors), institutions (large investors) are better informed because they tend to have lower marginal costs of information gathering. Thus large trades are expected be monitored more closely on the trading screen and the information content for pricing purposes is expected to be larger for these trades than for corresponding small trades. Using permanent price effects as a measure of price adjustment for private information, tests were performed to see whether price adjustments are greater in pre-announcement periods than in post-announcement periods. The results, based on interim earnings releases, suggest that large trades do indeed produce greater permanent price effects before an announcement than after it. This suggests that large trades associated with price changes (especially uptick trades) before an announcement send a stronger signal to other investors than similar trades after the announcement. For small trades the results were insignificant.
Download or read book Does Trading Volume Increase Or Decrease Prior To Earnings Announcements written by Sangwan Kim and published by . This book was released on 2016 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reports two empirical regularities regarding trading volume prior to earnings announcements. The literature suggests that discretionary liquidity traders postpone their equity trading until firms publicly announce earnings due to high information asymmetry before anticipated information events. Our first finding is that pre-announcement trading volume increases for firms with high analyst coverage. Our second finding is that preannouncement trading volume decreases for firms with low analyst coverage and trading volume prior to bad news is lower than good news earnings announcements. Our findings suggest that the intensity of analyst activity and the nature of mandatory earnings news jointly determine the direction and magnitude of pre-announcement trading volume. We contribute to the literature by showing that analysts' information discovery (temporarily pushed back trading demand) prior to earnings announcements may understate (overstate) the magnitude of a short-window trading volume reaction to earnings announcements as measures of information content for firms with high (low) analyst coverage.
Download or read book Timing Information Information Asymmetry and Trading Volume written by Joon Chae and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investigating various corporate announcements and abnormal return days, I observe that around 2% of daily trading volume decreases only before scheduled earnings announcements. This empirical pattern is robust across different specifications and periods. Also, proxies of ex ante information asymmetry are consistently related to the trading volume only before scheduled earnings announcements. The timing information existing only in a scheduled announcement seems to have an important role in trading volume dynamics near an announcement. However, the market makers, observing order flows, behave appropriately even without timing information and increase the price sensitivities before all kinds of announcements. These results shed light on the role of a newly observed variable, timing information of an announcement, in investors' trading decision under information asymmetry in the stock market.
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 Pre Announcement and Event Period Private Information written by Richard A. Schneible Jr. and published by . This book was released on 2008 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study cross-sectional differences in pre-announcement and event-period private information acquisition across firm size and institutional ownership using trading volume reactions to earnings announcements. We find that abnormal volume associated with absolute price change increases with both firm size and institutional ownership, suggesting that pre-announcement private information acquisition increases with firm size and institutional ownership. We also find that abnormal volume independent of absolute price change increases with institutional ownership, suggesting that event-period private information acquisition increases with institutional ownership. In contrast, abnormal volume independent of absolute price change decreases with firm size, reflecting the previously documented positive relation between firm size and the precision of pre-announcement public information. By demonstrating that firm size and institutional ownership are determinants of pre-announcement and event--period private information acquisition, this study provides new insights regarding the incentive to acquire private information around earnings announcements and helps explain prior empirical results in trading volume reaction studies.
Download or read book Information Asymmetry and Trading Volume written by Sanjai Bhagat and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines trading volume reaction to initiations of open market share repurchases. We observe no change in trading volume for repurchases announced immediately after the October 1987 stock market crash. In contrast, we find astrong announcement period volume reaction for a sample of firms that announced repurchases during quot;normalquot; periods. Using variation in analysts' earnings per share as a proxy for quality of information, we document the following: Trading volume is inversely proportional to the quality of preannouncement information. Second, market value is also inversely proportional to the quality of information about the firm.
Download or read book Did Regulation Fair Disclosure Level the Playing Field Evidence from an Analysis of Changes in Trading Volume and Stock Price Reactions to Earnings Announcements written by Anwer S. Ahmed and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We contribute to the literature on Regulation Fair Disclosure (FD) in three ways. First, we provide evidence on whether FD has achieved its intended effect of leveling the information playing field by examining whether differences across investors' information quality prior to earnings announcements have declined after the pronouncement of the regulation. We find strong evidence of a decline in earnings announcement period trading volume attributable to differential prior precision after FD consistent with a more level playing field. Second, we re-examine whether FD has resulted in firms reducing or chilling their information flows (disclosures) to investors. Contrary to prior work, we find that there is evidence of an overall reduction or chill in information flows after FD relative to a quot;cleanerquot; pre-FD period than the pre-FD period used in other studies. Third, we document that while the leveling effect of FD is relatively wide-spread, the chill effect is driven by (i) relatively smaller, high technology firms and (ii) relatively larger firms with high book-to-market ratios. We interpret the latter result as evidence that firms with relatively high costs of public disclosure chose to eliminate the disclosure altogether rather than broadening access to the disclosure.
Download or read book A Theory of Trading Volume Around Earnings Announcements written by Seok Woo Jeong and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Kim and Verrecchia (1994) provide a model of trade to explain trading volume around public disclosure which is assumed to be earnings announcement. However, their characterization of information is too general and has no relationship with the accounting information structure. Ohlson (1995) provides a fundamental valuation model that exploits the accounting relationship of earnings, book value, and dividends, but no implication can be made on the trading volume around earnings announcements from his model. We impose an information structure on the Kim and Verrecchia (1994) model whereby some market participants estimate fundamental value of the firm according to Ohlson's (1995) valuation model but differ in their assessment of permanent and transitory components of earnings. Our results demonstrate a positive relation between abnormal earnings and both trading volume and price changes around earnings announcements.
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Download or read book Europe s Hidden Capital Markets written by Jean-Pierre Casey and published by CEPS. This book was released on 2005 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.
