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Earnings Announcements Asymmetric Information Trades And Quotes
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Book Synopsis Earnings Announcements, Asymmetric Information, Trades and Quotes by : Jean-Francois Gajewski
Download or read book Earnings Announcements, Asymmetric Information, Trades and Quotes written by Jean-Francois Gajewski and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically analyses trades and quotes around the times of 37 earnings announcements in the Paris Bourse. We find that trading volume is larger on announcement days, spreads are wider after announcements, and the permanent positive (resp. Negative) price impact of purchases (sales) is greater around announcements. While the findings pertaining to the spread and the permanent impact of trades are consistent with the view that earnings announcements correspond to an increase in information asymmetries, the result that trading volume is larger suggests that other effects are at work.
Book Synopsis Information Based Trading Surrounding Earnings Announcements by : Joseph Berr Paperman
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:
Book Synopsis Investor Heterogeneity and Earnings Announcements by : Balkrishna Radhakrishna
Download or read book Investor Heterogeneity and Earnings Announcements written by Balkrishna Radhakrishna and published by . This book was released on 1995 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trading on Corporate Earnings News by : John Shon
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.
Book Synopsis Spreads, Depths, and the Impact of Earnings Information by : Charles M. C. Lee
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:
Book Synopsis Stock Market Liquidity by : François-Serge Lhabitant
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.
Book Synopsis Asymmetric Trading Costs Prior to Earnings Announcements by : Travis L. Johnson
Download or read book Asymmetric Trading Costs Prior to Earnings Announcements written by Travis L. Johnson and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the cost of trading on negative news, relative to positive news, increases before earnings announcements. Our evidence suggests that this asymmetry is due to financial intermediaries reducing their exposure to announcement risks by providing liquidity asymmetrically. This asymmetry creates a predictable upward bias in prices that increases preannouncement, and subsequently reverses, confounding short-window announcement returns as measures of earnings news and risk premia. These findings provide an alternative explanation for asymmetric return reactions to firms' earnings news, and help explain puzzling prior evidence that announcement risk premia precede the actual announcements. Our study informs methods for research centering on earnings announcements and offers a possible explanation for patterns in returns around anticipated periods of heightened inventory risks, including alternative firm-level, industry-level, and macroeconomic information events.
Book Synopsis Asymmetric Information and the Distribution of Trading Volume by : Matthijs Lof
Download or read book Asymmetric Information and the Distribution of Trading Volume written by Matthijs Lof and published by . This book was released on 2018 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we find that firm-year observations of VCV, computed from daily trading volumes, are correlated with extant firm-level measures of asymmetric information in the cross-section of US stocks. Moreover, VCV increases following exogenous reductions in analyst coverage induced by brokerage closures, and steeply decreases around earnings announcements.
Book Synopsis Bridging The Gaap: Recent Advances In Finance And Accounting by : Itzhak Venezia
Download or read book Bridging The Gaap: Recent Advances In Finance And Accounting written by Itzhak Venezia and published by World Scientific. This book was released on 2012-03-20 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bridging the GAAP: Recent Advances in Finance and Accounting lies at the intersection of the two disciplines. The readings in this volume bridge the gap between finance and accounting by looking at diverse topics in accounting and finance and by providing interesting points of view regarding their interface. Most of the chapters concentrate on the topic of fair value accounting and on the extent to which accounting numbers mirror the financial situation of the firm. This book combines new developments in the areas of theoretical and empirical finance and accounting, and emphasizes the convergence of these two disciplines to better serve researchers, investors and the general public. The papers contained in this volume will help scholars, practitioners and investors better understand the similarities and differences between these two important fields of study.
Book Synopsis Asymmetric Information and Firms Trading Volume before a Scheduled Announcement by : Jonfilippo Fabiano
Download or read book Asymmetric Information and Firms Trading Volume before a Scheduled Announcement written by Jonfilippo Fabiano and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is generally known that trading volume is positively related to asymmetric information amongst investors, but when there is time discretion, the relation is likely to become negative. The aim of this paper is to empirically verify the existence of this inverse relation for a sample of Swiss listed firms. Trading volume trends are analysed before earnings announcements for a sample of 1540 events distributed across 85 firms from 1995 to 2006. I hypothesize that before an earnings announcement there is a decrease in the firm's trading liquidity due to the presence of asymmetric information amongst investors, and a positive relationship between trading volume and simultaneous changes in stock prices. Moreover, the magnitude of the price change should be higher in the case of a positive earnings release. Event analysis confirms a significant daily average decrease of about 2% in the abnormal volume turnover from 10 to 3 trading days before the announcement, while regression analysis reveals evidence that matching a lower decrease in trading liquidity there will be an upturn in the level of stock prices. Furthermore, the analysis reveals that prior to a positive announcement there will be a higher increase in the firm's share price. The analysis does not show evidence of any relationship between the decrease in trading liquidity, firm size and bid-ask spread.
Book Synopsis Information, Trading and Product Market Interactions by : Heather Elise Tookes
Download or read book Information, Trading and Product Market Interactions written by Heather Elise Tookes and published by . This book was released on 2003 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Microstructure by : Frédéric Abergel
Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-05-14 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Book Synopsis A Test of the Effects of Changing Information Asymmetry in a Capital Market by : Paul V. Dunmore
Download or read book A Test of the Effects of Changing Information Asymmetry in a Capital Market written by Paul V. Dunmore and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The African Journal of Finance and Management by :
Download or read book The African Journal of Finance and Management written by and published by . This book was released on 2003 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Studies of Earnings Announcements as Periods of Asymmetric Information by : P. C. Venkatesh
Download or read book Two Studies of Earnings Announcements as Periods of Asymmetric Information written by P. C. Venkatesh and published by . This book was released on 1983 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Decrease in Liquidity Trading Before Earnings Announcements and the Announcement Return Premium by : Shai Levi
Download or read book Asymmetric Decrease in Liquidity Trading Before Earnings Announcements and the Announcement Return Premium written by Shai Levi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce their sales as much as their purchases in the days before announcements. Investors needing liquidity sell stocks at a discount relative to the post-announcement price, and these preannouncement liquidity sales are a significant driver of the average positive returns, or return premium, known to characterize announcement days.
Book Synopsis Earnings Quality by : Jennifer Francis
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.
