Konferenzbeitrag
Stock liquidity in forefront of anticipated announcements
The paper studies the effects of anticipated earnings announcements on liquidity before the earnings announcement day, utilizing full limit order book data. We find very convincing supportive evidence of deteriorating liquidity due to the increase in information asymmetry, which is in line with existing literature. We contribute to the literature showing that supply and demand elasticities, and hence overall market depth, are much stronger adversely affected, as best bid and best ask quotes would suggest.
- Language
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Englisch
- Bibliographic citation
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Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Information, Risk, and Uncertainty in Finance ; No. B23-V2
- Classification
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Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Asset Pricing; Trading Volume; Bond Interest Rates
Corporate Finance and Governance: General
- Event
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Geistige Schöpfung
- (who)
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Gelman, Sergey
Lushchikov, Roman
- Event
-
Veröffentlichung
- (when)
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2015
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Konferenzbeitrag
Associated
- Gelman, Sergey
- Lushchikov, Roman
Time of origin
- 2015
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