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 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 Firm Value and Optimal Levels of Liquidity written by J. Edward Graham and published by Psychology Press. This book was released on 2001 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Download or read book The Impact of Stock Liquidity on Firm Value written by Minh Hien Thi Nguyen and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study explores the effect of stock liquidity on firm value in the context of Vietnam. Theory suggests that liquid stocks have been shown to facilitate more efficient management compensation, reduce managerial opportunism decisions and promote trade by informed investors; hence improving the firm performance. Based on a sample of largest firms in Vietnam from 2012 to 2016 and panel regression models, we find that there is no relationship between Tobin's Q and turnover volume as a proxy of stock liquidity. However, a significant relationship between Tobin's Q and Amihud Illiquidity has been confirmed from the random effect regression model. For instance, a rise in stock liquidity in one stand deviation improves the firm value by 7.31%.
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 The Value Impact of Stock Liquidity written by Tao Huang and published by . This book was released on 2018 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study addresses an important issue about the role of stock market in corporate finance by directly examining the effect of stock liquidity on firm value on a broad sample of firms from 53 countries for the period 1981-2010. Consistent with finance theory, we document a strong positive association between stock liquidity and firm value at both the firm and country levels. This finding is robust to alternative stock liquidity measures and is not driven by the endogeneity problem. We further explore how country characteristics on investor protection affect the value impact of liquidity. The results show that strong investor protection and transparent financial reporting environments magnify the importance of stock liquidity to firm value. However, global market integration weakens the effects of local country's investor protection regimes.
Download or read book The Real Effects of Stock Market Liquidity written by Ying Xia and published by Open Dissertation Press. This book was released on 2017-01-26 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "The Real Effects of Stock Market Liquidity" by Ying, Xia, 夏颖, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: One important line of literature in finance studies the real effects of stock market on the economy. Following this area of research, I investigate whether stock market liquidity can affect firm's real economic activities. This thesis consists of two empirical studies about the effects of stock market liquidity on firm's default risk and manager's earnings manipulation. The first chapter examines the impact of stock liquidity on firm default risk. Default occurs when a firm's cash flows are insufficient to cover its debt service costs and principal payments. I show that firms with more liquid stocks have lower default risk. Using the Securities and Exchange Commission's decimalization regulation as a shock to stock market liquidity, I establish that enhanced stock liquidity causally decreases default risk. Then I find two mechanisms through which liquidity reduces firm default risk: through improving stock price informational efficiency, and facilitating corporate governance by blockholders. Of the two mechanisms, informational efficiency channel has higher explanatory power than the corporate governance channel. The second chapter studies the relationship between stock market liquidity and earnings management. Earning management occurs when managers exercise their discretions over the choices of accounting methods or operational activities with the objective to influence the reported earnings. Using a sample of U.S. public firms over the time period from 1993 to 2012, I find that firms with more liquid stocks have lower level of both real and accrual-based earnings management. The result is robust to the use of various measures of liquidity. I address the endogeneity problem by using instrumental variable approach and a source of exogenous shocks to stock liquidity, i.e. Decimalization regulation. These methods provide evidence of a causal effect of liquidity on earnings management. I further find that liquidity curbs earnings management by mitigating the information asymmetry between managers and shareholder and facilitating governance by large institutional investors. Subjects: Liquidity (Economics) Stock exchanges
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 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 Buying Stocks Without a Broker written by Charles B. Carlson and published by McGraw-Hill Companies. This book was released on 1992 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2013-02-25 with total page 587 pages. Available in PDF, EPUB and Kindle. Book excerpt: The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are 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. This 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 accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, they analyze 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 suffers. The book also confronts many puzzling 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, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices.
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Download or read book Firm Value written by Paolo Saona Hoffmann and published by BoD – Books on Demand. This book was released on 2018-08-01 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume aims to discuss the most contemporary state of the determinants of the firm value. This book presents theoretical works as well as empirical studies that contrast the arguments offered by the leading, ground-breaking theories on the firm value. What variables determine the firm value? Are these determinants controllable or uncontrollable by the managers of the companies? Is the impact of corporate governance systems on the firm value symmetrical between different institutional contexts? Do the financial reports affect the value of the firm? What role does corporate social responsibility play as a determinant of the firm value? These and other questions are analyzed and scrutinized step by step throughout this book.
Download or read book TrimTabs Investing written by Charles Biderman and published by John Wiley & Sons. This book was released on 2005-04-15 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether you are an investment professional managing billions of dollars or an individual investor with a small nest egg, TrimTabs Investing shows you how to beat the major stock market averages with less risk. This groundbreaking book begins by comparing the stock market to a casino in which the house (public companies and the insiders who run them) buys and sells shares with the players (institutional and individual investors). TrimTabs Investing argues that stock prices are primarily a function of liquidity—the amount of shares available for purchase and the amount of money available to buy them—rather than fundamental value. Finally, it outlines the building blocks of liquidity theory and explains how you can use them to predict the direction of the stock market. “Charles Biderman, a savvy and battle-scarred veteran of the investment wars, has fashioned an intriguing approach to making money in the stock market that adroitly avoids both heavy-breathing speculation and the standard Wall Street practices that enable investors, big and small, to lose money in good markets as well as bad. Aimed at the sophisticated investor (which may or may not be an oxymoron), the book is written in blessedly straightforward prose and is a worthwhile read for anyone with an urge to have a fling at investing.--Alan Abelson Barron’s “Since the days of Joseph and Pharaoh, it has been axiomatic that the size of the grain harvest affects the level of grain prices; but today’s investors have been slow to appreciate the fact that the supply of stock shares significantly determines the level of stock prices. Biderman’s long overdue book outlines the theory and evidence behind ‘Trading Float,’ the actual—and exploitable—power behind major moves in the stock market. --Paul Montgomery CEO and CIO of Montgomery Capital Management “‘Trade as corporate execs do, not as they say.’ Charles Biderman has built an impressive list of hedge fund clients from this essential insight, and this book does a great job explaining exactly how retail investors can incorporate it into their investing.” --Eric Zitzewitz Assistant Professor of Economics, Stanford Graduate School of Business “Charles Biderman is a smart thinker, clear writer—and he offers here some very interesting ideas. This book is for the little guy who enjoys reading about money and economics, even if he doesn’t adopt the strategies offered here; and for the professional or sophisticated investor, who, to a greater or lesser degree, just might.--Andrew Tobias author of The Only Investment Guide You'll Ever Need
Download or read book Stock Market Liquidity in Chile written by Mr.Luis Brandao-Marques and published by International Monetary Fund. This book was released on 2016-11-16 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chile has a large but relatively illiquid stock market. Global factors such as global risk appetite and monetary policy in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of emerging markets suggests strong protection of minority shareholders can help improve stock market liquitidity. Currently, illiquid in Chilean may have to pay 31⁄2 percent more as cost of equity. Corporate governance should be improved, namely through the adoption of a stewardship code.
Download or read book The Effects of Stock Delistings on Firm Value Risk Market Liquidity and Market Integration written by Ahamed Kameel Mydin Meera and published by . This book was released on 1996 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Public News Firm Value Variations and Stock Liquidity written by Tan (Charlene) Lee and published by . This book was released on 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: I extend the sequential trade model of market-making developed by Glosten and Milgrom (1985) to a highly stylized form and obtain the following theoretical predictions. First, a stock with a lower firm-value variation is more liquid, i.e., is traded with a narrower bid-ask spread. Second, whether stocks associated with stronger public news signals have better stock liquidity, depends on a critical condition regarding the relative number of uninformed/informed traders, and the information content of public news events. Third, stocks associated with more public news signals have less volatile transaction liquidity. Fourth, the reduction on liquidity volatility due to greater news strength, will be less significant for stocks with low firm value variations. Although my model predictions are in line with some extant empirical work, it indicates that there is still room for more in-depth empirical studies.
