Intra-day Bid-ask Spreads Surrounding Earnings Announcements and Information Asymmetry
Author : Sandeep Anubhai Patel
Publisher :
Page : 80 pages
File Size : 37,57 MB
Release : 1993
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Author : Sandeep Anubhai Patel
Publisher :
Page : 80 pages
File Size : 37,57 MB
Release : 1993
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Author : Charles M. C. Lee
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Page : 48 pages
File Size : 34,7 MB
Release : 1992
Category : Securities
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Author : Douglas J. Skinner
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Page : 42 pages
File Size : 26,70 MB
Release : 1992
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Author : DOUGLAS J. SKINNER
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Page : 40 pages
File Size : 17,54 MB
Release : 1993
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Author : Joseph Berr Paperman
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Page : 370 pages
File Size : 10,22 MB
Release : 1997
Category : Corporate profits
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Author : Maarten Pronk
Publisher :
Page : 44 pages
File Size : 11,42 MB
Release : 2004
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Libby, Mathieu and Robb (2002) investigate, among other things, the impact of intraday timing of earnings announcements on the bid-ask spread and depth for a sample of firms listed on the Toronto Stock Exchange. They document, in a univariate setting, that the spread is relatively wider and the depth lower after announcements declared during non-trading hours than after announcements released during trading hours. This study extends their research by (a) investigating earnings announcements declared by firms traded on the NYSE or AMEX, (b) addressing this issue in a multivariate setting, (c) exploring before-open and after-close announcements separately, and (d) analyzing the impact by half-hour interval. Interestingly, my results indicate, opposite to the findings by Libby et al (2002), that the spread is relatively smaller and the depth higher after overnight announcements than after daytime announcements. These findings are robust to firm-specific factors, cross-listings, differences in the content of daytime and overnight releases, and intraday timing consistency. In addition, this effect occurs after before-open and after after-close announcements, and the analysis by half-hour interval reveals that the impact on the spread (depth) lasts for four (seven) trading half-hours.
Author : Michael J. Fleming
Publisher :
Page : 62 pages
File Size : 31,55 MB
Release : 1997
Category : Treasury bills
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"We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer"--Abstract.
Author : Daniella Acker
Publisher :
Page : 35 pages
File Size : 41,17 MB
Release : 2008
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This paper examines the determinants of bid-ask spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily spreads are affected by order processing costs (proxied by trading volumes), inventory control costs (trading volumes and return variability) and asymmetric information (unusually high trading volumes). Spreads start to narrow 15 days before an earnings announcement, and narrow further by the end of the announcement day. We also identify a puzzling phenomenon. There is only a 'sluggish' recovery of spreads after the announcement: spreads continue to remain at relatively narrow levels, and take up to 90 days to recover to their pre-announcement width.
Author : Faten Lakhal
Publisher :
Page : 31 pages
File Size : 15,76 MB
Release : 2005
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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.
Author : Angelo Ranaldo
Publisher :
Page : 46 pages
File Size : 35,51 MB
Release : 2013
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I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that traders actively monitor and promptly react to the real-time information flow. The news impact depends on which type of news bulletin is released. Only earnings announcements and news items causing extreme price disruptions enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets that are able to provide additional liquidity during information events.