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Changes In Trading Activity Following Stock Splits And Their Effect On Volatility And The Adverse Information Component Of The Bid Ask Spread
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Book Synopsis Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread by : Anand S. Desai
Download or read book Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread written by Anand S. Desai and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine changes in trading activity around stock splits, and their effect on the volatility and the adverse information component of the bid-ask spread. Even after controlling for microstructure biases, we find a significant increase in the volatility after the split. Changes in total volatility and in its permanent component are positively related to changes in the number of trades. This suggests that both informed and noise traders contribute to changes in trading activity. Further, while the adverse information component of the spread increases unconditionally after the split, the change is negatively related to the change in trading activity. The results suggest that a crucial determinant of liquidity changes after a stock split is the success of the split in attracting new trades in the security.
Book Synopsis Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid-ask Spread by : A. S. Desai
Download or read book Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid-ask Spread written by A. S. Desai and published by . This book was released on 1996 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Changes in Trading Patterns Following Stock Splits and Their Impact on Market Microstructure by : Anand S. Desai
Download or read book Changes in Trading Patterns Following Stock Splits and Their Impact on Market Microstructure written by Anand S. Desai and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We reexamine the impact of stock splits on the volatility and liquidity of the stock. We develop a model of trading where the number of informed traders and changes in the volatility and liquidity are endogenously determined by changes in the number of noise traders. Our empirical evidence suggests that the increase in volatility after stock splits cannot be totally attributed to microstructure biases due to the bid-ask bounce and price discreetness. A significant fraction of the increase in volatility is due to an increase in the number of both noise and informed trades. Also consistent with our model's predictions, we find that the stock's liquidity worsens when the number of noise trades either declines or increases by a small amount. On the other hand, liquidity improves for large increases in noise trades, which is consistent with the managerial motive for stock splits. A crucial determinant of the increase in noise trades is the release of positive information to the market soon after the announcement of the split.
Book Synopsis Advances in Quantitative Analysis of Finance and Accounting by : Cheng F. Lee
Download or read book Advances in Quantitative Analysis of Finance and Accounting written by Cheng F. Lee and published by World Scientific. This book was released on 2008 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and accounting profession. The chapters in this volume cover a wide range of important topics, including corporate finance and debt management, earnings management, options and futures, equity market, and portfolio diversification. These topics are very useful for both academicians and practitioners in the area of finance.
Book Synopsis Advances In Quantitative Analysis Of Finance And Accounting (Vol. 6) by : Cheng Few Lee
Download or read book Advances In Quantitative Analysis Of Finance And Accounting (Vol. 6) written by Cheng Few Lee and published by World Scientific. This book was released on 2008-03-14 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and accounting profession.The chapters in this volume cover a wide range of important topics, including corporate finance and debt management, earnings management, options and futures, equity market, and portfolio diversification. These topics are very useful for both academicians and practitioners in the area of finance.
Book Synopsis Dividends and Dividend Policy by : H. Kent Baker
Download or read book Dividends and Dividend Policy written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2009-05-04 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividends And Dividend Policy As part of the Robert W. Kolb Series in Finance, Dividends and Dividend Policy aims to be the essential guide to dividends and their impact on shareholder value. Issues concerning dividends and dividend policy have always posed challenges to both academics and professionals. While all the pieces to the dividend puzzle may not be in place yet, the information found here can help you gain a firm understanding of this dynamic discipline. Comprising twenty-eight chapters—contributed by both top academics and financial experts in the field—this well-rounded resource discusses everything from corporate dividend decisions to the role behavioral finance plays in dividend policy. Along the way, you'll gain valuable insights into the history, trends, and determinants of dividends and dividend policy, and discover the different approaches firms are taking when it comes to dividends. Whether you're a seasoned financial professional or just beginning your journey in the world of finance, having a firm understanding of the issues surrounding dividends and dividend policy is now more important than ever. With this book as your guide, you'll be prepared to make the most informed dividend-related decisions possible—even in the most challenging economic conditions. The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals.
Book Synopsis When-Issued Shares, Small Trades and the Variance of Returns Around Stock Splits by : James Angel
Download or read book When-Issued Shares, Small Trades and the Variance of Returns Around Stock Splits written by James Angel and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The increases in volatility subsequent to stock splits have long puzzled researchers. The usual suspects of discreteness and bid-ask spread do not provide a complete explanation. This paper offers clues to solve this mystery by examining the trading of quot;when, as and if issuedquot; shares that are available prior to the split. When-issued trading permits noise traders to compete with a more homogenous set of traders decreasing the volatility of the stock prior to the split date. Following the split, these noise traders reunite in one market and volatility increases. This suggests that the higher volatility after the ex-date of a stock split is a function of the introduction of when-issued trading before the ex-date, the new lower price level after the split date, and the increased activity of small-volume traders around a stock split.
Book Synopsis Share Liquidity and Corporate Efforts to Enhance it by : Maria Gårdängen
Download or read book Share Liquidity and Corporate Efforts to Enhance it written by Maria Gårdängen and published by . This book was released on 2005 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Modelling by : Maria Bonilla
Download or read book Financial Modelling written by Maria Bonilla and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a selection of the papers presented at the 24th Meeting of the Euro Working Group on Financial Modelling held in Valencia, Spain, on April 8-10, 1.999. The Meeting took place in the Bancaja Cultural Center, a nice palace of the XIX century, located in the center of the city. Traditionally, members of the Euro Working Group on Financial Mod elling meet twice a year, hosted by different active groups in successions. The year 1999 was very special for us because the University of Valencia celebrates its fifth century. The Meeting was very well attended and of high quality. More than 90 participants, coming from 20 different countries debated 46 communications in regular sessions. The opening lecture was given by Prof. H. White, from the University of California, San Diego. The topics discussed were classified in nine sessions: Financial Theory, Financial Time Series, Risk Analysis, Portfolio Analysis, Financial Institu tions, Microstructures Market and Corporate Finance, Methods in Finance, Models in Finance and Derivatives. The papers collected in this volume provide a representative but not com plete sample of the fields where the members of the working group develop their scientific activity. The papers are a sample of this activity, and consist of theoretical papers as well as empirical ones.
Book Synopsis Cash Holdings, Stock Splits, and Mergers by : Shane Shepherd
Download or read book Cash Holdings, Stock Splits, and Mergers written by Shane Shepherd and published by . This book was released on 2008 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An examination of stock splits in two essays by : Amy Burnett
Download or read book An examination of stock splits in two essays written by Amy Burnett and published by . This book was released on 1992 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances In Quantitative Analysis Of Finance And Accounting (Vol. 3): Essays In Microstructure In Honor Of David K Whitcomb by : Cheng Few Lee
Download or read book Advances In Quantitative Analysis Of Finance And Accounting (Vol. 3): Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and published by World Scientific. This book was released on 2006-04-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Book Synopsis Further Evidence on the Impact of Stock Splits on Trading Liquidity by : Józef Rudnicki
Download or read book Further Evidence on the Impact of Stock Splits on Trading Liquidity written by Józef Rudnicki and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock splits have attracted the attention of academicians and practitioners for a long time. Many debates revolve around these often called "cosmetic” events that do not bring about any direct valuation implications. In spite of their simplicity and theoretically no motivation for any potential reaction this corporate event exerts influence on various stock's characteristics like liquidity, rates of return, shareholders' base etc. Considering the time period 2000-May 2011 the author examines the behavior of share volume following the stock splits of companies listed on the New York Stock Exchange and reports a 1-percent significant deterioration of this proxy of liquidity. Additionally, the greatest amplitude of abnormal changes in liquidity is observed during two trading sessions around the actual stock split although there is provided no new information to the market through the physical split of the shares outstanding since it is well-known in advance. The results obtained are indicative of the fact that splitting the stock as opposed to liquidity and/or trading range hypotheses on splits leads to liquidity deterioration what, in turn, should result in greater liquidity risk faced inter alia by brokers and/or market makers who may be willing to compensate for this unfavorable corollary of the corporate event at issue and, as a result, to charge higher transaction costs in the form of e.g. greater bid-ask spreads. On the other hand, shareholders, both existing and prospective, are likely to demand higher compensation for increased risk by requiring greater returns on such stocks.
Book Synopsis Transaction Size, Order Submission and Price Preferences Around Stock Splits by : José Yagüe
Download or read book Transaction Size, Order Submission and Price Preferences Around Stock Splits written by José Yagüe and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse the effect of splits on stock liquidity. The results show a drop in trading volume and depth and an increase in the relative bid-ask spread. We detect a change in trading composition, with an increase in the smallest transactions, mainly on the buyer side of shares whose prices fall significantly after the split. The information asymmetry does not diminish, given that the adverse selection component of the effective spread reduces only insignificantly for the full sample. Finally there are not significant changes in the percentage of orders that provide liquidity to the market. These findings indicate that splits, despite higher transaction costs, encourage the entry of small investors attracted by the lower stock prices.
Book Synopsis Stock Splits and Stock Dividends by : wissem daadaa
Download or read book Stock Splits and Stock Dividends written by wissem daadaa and published by . This book was released on 2016 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent theoretical researches in equity market consider that the enhanced liquidity is the principal motivation for stock splits and stock dividends, however, empirical studies find different results and even a decline in liquidity after the announcements or the effectives dates (ex dates) of theses events. In this paper, we analyze the stock splits and stock dividends effects on liquidity using bid ask spread measures. The sample is composed of all the stock splits and stock dividends announcements on Tunisia Stock Exchange (TSE), between 1990 and 2010. We test the change of the various indicators liquidity before the announcement period, between the announcement and the ex date, and after the ex date. The results show an increase in the absolute and relative spread after the ex date of stock splits. This increase in the spread involves an increase in the investor transaction cost, a degradation of the short-term liquidity and the fall of the market quality. This increase is explained by order processing costs and inventory holding costs.
Book Synopsis Informed Trading Around Stock Split Announcements by : Philip Gharghori
Download or read book Informed Trading Around Stock Split Announcements written by Philip Gharghori and published by . This book was released on 2015 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders' perceptions on return and volatility changes arising from stock splits. We find that they do expect higher volatility following splits. There is only weak evidence though of option traders anticipating an abnormal increase in stock prices. We also show that our option measures can predict both stock volatility levels and changes after the announcement. However, there is little evidence that they can predict the returns of splitting firms.
Book Synopsis The Impact of Clientele Changes by : Ravi Dhar
Download or read book The Impact of Clientele Changes written by Ravi Dhar and published by . This book was released on 2009 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the trades of individual and professional investors around stock splits and find that splits bring about a significant shift in investor clientele. We find that a higher fraction of post-split trades are made by less sophisticated investors, as individual investors increase and professional investors reduce their aggregate buying activity following stock splits. This behavior supports the common practitioners' belief that stock splits help attract new investors and improve stock liquidity. The shift in clientele also influences return properties, price discovery, and asset prices: stocks exhibit stronger serial correlation after splits; stocks co-move more with the market index; and the introduction of new investors explains part of the positive post-split drift puzzle.
