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Use Of Different Trading Environments Around Interim Earnings Announcements On The Helsinki Stock Exchange
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Book Synopsis Use of Different Trading Environments Around Interim Earnings Announcements on the Helsinki Stock Exchange by : Markku J. Vieru
Download or read book Use of Different Trading Environments Around Interim Earnings Announcements on the Helsinki Stock Exchange written by Markku J. Vieru and published by . This book was released on 2002 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the hypothesis that an anticipated information event (e.g. interim earnings announcement) affects the use of trading venues. Data from the Helsinki Stock Exchange are used where an upstairs market co-exists with an anonymous downstairs market. Trades are classified also as in-house trades and externalised trades. In this study, evidence is found that before the announcement event, the proportion of cross-broker trading in the downstairs market increases compared with trading in this mode during a non-announcement period. Correspondingly in-house trades in the upstairs market tend to decrease before the announcement. After the announcement upstairs trading recovers. Furthermore, the empirical findings show that the use of cross-broker trades in the downstairs market is negatively related to the trading activity and intraday price volatility during the pre-announcement period. After the announcement especially the volatility association changes resulting in increased downstairs trading with high volatility.
Book Synopsis Intraday Trading Behavior Around Interim Earnings Announcements on the Helsinki Stock Exchange by : Markku J. Vieru
Download or read book Intraday Trading Behavior Around Interim Earnings Announcements 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 purpose of the study is to investigate whether and how an anticipated information event such as an interim earnings announcement affects intraday trading on the Helsinki Stock Exchange, the HSE. The Finnish stock market, with its special characteristics, provides a suitable forum to study the robustness of previous findings produced in more developed stock markets (e.g. the US). The article finds evidence from the HSE that the widely documented U-shape pattern in trading activity - namely heavy trading in the beginning and at the end of the trading day and relatively light trading in the middle of the day - is affected by an anticipated information event (i.e. interim earnings announcement). Before the announcement day, trading is more concentrated at the close. This is consistent with investors' heterogeneous willingness to bear expected overnight risk, which is especially prevalent before an announcement. Moreover, a somewhat greater concentration of trading on the open is evident after the announcement day, indicating unexpected overnight information. The results of the paper further indicate that the change in the trading concentration pattern is associated with announcement-related factors, such as the range of analysts' earnings forecasts, the magnitude of unexpected earnings and firm size. This association is evident for the overall change in the trading pattern and to some extent during the transition between trading and non-trading regimes.
Book Synopsis The Impact of Interim Earnings Announcements on the Permanent Price Effects of Trades on the Helsinki Stock Exchange by : Markku J. Vieru
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.
Book Synopsis 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 by : Markku J. Vieru
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.
Book Synopsis Impact of Investors' Trading Activity to Post-Earnings Announcement Drift by : Markku J. Vieru
Download or read book Impact of Investors' Trading Activity to Post-Earnings Announcement Drift written by Markku J. Vieru and published by . This book was released on 2005 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study focuses on post-earnings-announcement drift in an emerging market and whether it is associated with the trading activity of non-institutional trading around interim earnings announcements. We separate the stock trading activity of Finnish households into five trading classes. Data is all trades executed on the Helsinki Stock Exchange during 1996-2000. Results show that when earnings news contains only moderate price effects no clear evidence is found to show that trading by any of the specified non-institutional trading activity classes is particularly associated with price changes. However, excess buying of passive and intermediate individual investors after extremely negative earnings news seems to intensify the negative post-earnings returns. Also for extremely positive earnings news trading by individuals seems to be related to the post-earnings returns. In that sense post-earnings returns are related with the trading of non-institutional activity classes. However, the net trading of non-institutional investors with different trading activities on the announcement day does not affect the correlation between earnings surprises and subsequent returns. This suggests that the net trading of non-institutional investors' trading activity on the announcement event does not predict subsequent returns. Thus this result is consistent with that of Hirshleifer, Myers, Myers and Teoh (2003).
Book Synopsis How Investors Trade Around Interim Earnings Announcements by : Hannu J. Schadewitz
Download or read book How Investors Trade Around Interim Earnings Announcements written by Hannu J. Schadewitz and published by . This book was released on 2007 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study focuses on non-institutional trading behavior around interim earnings announcements in the emerging market. We separate the stock trading activity of Finnish households into five trading classes and compare the results to corresponding institutional trading. Data covering the years 1996-2000 shows that earnings news triggers trading in every trading classes. Before the event, especially active individuals show increased buying and selling activity compared to the non-event period. This finding supports Kim and Verrecchia's (1991a, b) proposition that announcement stimulates private information-gathering and trading. After the event we find that Finnish households in the most active investor class tend to follow a contrarian strategy, especially selling after the good news. This adds to previous evidence by Grinblatt and Keloharju (2000b). Further, individuals with active trading, perform better than the passive investors around the announcement. Finally, the impact of the announcement on institutional trading is clearly milder compared to that on the active investor classes.
Download or read book Multinational Finance Journal written by and published by . This book was released on 2003 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Investors' Trading Policy Around Interim Earnings Announcements in a Thinly Traded Securities Market by : Markku Vieru
Download or read book Essays on Investors' Trading Policy Around Interim Earnings Announcements in a Thinly Traded Securities Market written by Markku Vieru and published by . This book was released on 2000 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trading on Corporate Earnings News: Profiting from Targeted, Short-Term Options Positions by : John Shon
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:
Book Synopsis The Information Content of British and Japanese, Annual and Interim Earnings Announcements by : Edwin R. Etter
Download or read book The Information Content of British and Japanese, Annual and Interim Earnings Announcements written by Edwin R. Etter and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper utilizes daily closing prices on the U.S., British and Japanese markets, and daily trading volume on the U.S. market to investigate whether U.S. investors find information content in British and Japanese, annual and interim earnings announcements. When examining the unexpected price reaction, the vector autoregression (VAR) model is used to filter out the price effect of the earnings announcement in the home (non-U.S.) market in order to isolate the price effect generated by U.S. investors. Results of the price analyses indicate that U.S. investors find information content in both British and Japanese earnings announcements. Next, based on the model of Holthausen and Verrecchia (1990), price and trading volume responses are analyzed concurrently to determine the effect of the foreign earnings announcements on U.S. investors' level of informedness and degree of consensus (components of the information content). In general, the analyses indicate that both British and Japanese earnings announcements increase U.S. investors' level of informedness (i.e., decrease their level of uncertainty), and that British and Japanese earnings announcements have a greater impact on U.S. investors' level of informedness than on their degree of consensus.
Book Synopsis (Naked) Short Selling Around Earnings Announcement by : Ye Wang
Download or read book (Naked) Short Selling Around Earnings Announcement written by Ye Wang and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Since short sellers are considered sophisticated traders and respond to corporate news and public information in a timely manner, corporate earnings announcements containing new information can be used to update the beliefs of short sellers and affect their investment strategies. Abnormal market reactions to earnings surprises are traditionally considered due to market mispricing or investor overreaction to unexpected corporate news; however, such mispricing is also determined by the functioning of the market microstructure. This paper uses an innovative dataset that includes detailed short sales information and fails-to-deliver (FTDs) at the settlement dates for all stocks listed in the New York Stock Exchange and NASDAQ to provide empirical evidence that the FTDs arising from naked short selling contribute to this mispricing around earnings announcements. Furthermore, this paper provides empirical evidence that, even after new regulation for restricting naked short sales, such misbehavior still causes price distortion during negative corporate events. This work also identifies multiple factors that could influence the (naked) short sales constraints of trading securities. The results show that institutional ownership, insider sales, short interests, and trading volume in a dark pool are important factors in the (naked) short sales of underlying stocks.
Book Synopsis Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements by : Priyantha Mudalige
Download or read book Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements written by Priyantha Mudalige and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates individual and institutional trading activities in competing firms to infer informed trading. We find evidence for individual and institutional informed trading in competing firms around earnings announcements. The evidence is stronger prior to announcements than after announcements. Magnitude of institutional (individual) net order flow coefficient decreases (increases) with lag length, suggesting that institutional trading captures information faster than individual trading. Individual net order flow transmit information cross-stock when competitor is a small firm while institutional net order flow conveys information cross-stock irrespective of firm size. Our results will be informative for regulators with regard to insider trading laws and provide insights for market participants on the impact of individual and institutional trading on cross-stock price discovery process.
Book Synopsis Discretionary Disclosure and External Financing by : Harri J. Seppänen
Download or read book Discretionary Disclosure and External Financing written by Harri J. Seppänen and published by . This book was released on 1999 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on an analysis of disclosure data from 42 non-financial Finnish firms between 1990 and 1992, examines managers' information disclosure practices (disclosure frequency and timing). Investigates whether external financing arrangements are associated with managers' general accounting disclosure practices in an institutional setting that is considered to exhibit 'relationship' financing.
Book Synopsis Empirical Market Microstructure by : Joel Hasbrouck
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.
Book Synopsis Guide to Financial Markets by : Marc Levinson
Download or read book Guide to Financial Markets written by Marc Levinson and published by The Economist. This book was released on 2018-07-24 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.
Book Synopsis The Handbook of Electronic Trading by : Joseph Rosen
Download or read book The Handbook of Electronic Trading written by Joseph Rosen and published by . This book was released on 2009-06-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive look at the challenges of keeping up with liquidity needs and technology advancements. It is also a sourcebook for understandable, practical solutions on trading and technology.
Book Synopsis Securities Market Issues for the 21st Century by : Merritt B. Fox
Download or read book Securities Market Issues for the 21st Century written by Merritt B. Fox and published by . This book was released on 2018 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt:
