Three Essays On Stock Market Liquidity And Earnings Seasons
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Three Essays On Stock Market Liquidity And Earnings Seasons
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Author : Andrei I. Nikiforov
language : en
Publisher:
Release Date : 2009
Three Essays On Stock Market Liquidity And Earnings Seasons written by Andrei I. Nikiforov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Electronic dissertations categories.
In these essays, I identify the effects of earnings seasons (i.e., the clustering of earnings releases), on stock market liquidity and asset pricing. In the first essay, I document strong seasonal regularities associated with aggregate earnings announcements. Applying the large body of literature linking earnings announcements to liquidity effects, I argue that these earnings seasons create market-wide liquidity shocks and I show that both liquidity betas and liquidity risk change during earnings seasons In the second essay, I test the impact of earnings seasons on commonality in liquidity as measured by both spreads and depths. I find that commonality significantly decreases during the four weeks of each calendar quarter when most companies release their earnings. These findings contribute to the literature by identifying and examining the clustering effect of firm-specific information on commonality in liquidity. In the third essay, I extend the study of the liquidity effects of earnings seasons to a sample of 20 countries. I find that the international data corroborate both hypotheses. I also find that the aggregate quality of accounting information, and the duration and frequency of interim reporting periods are important determinants of the liquidity effects (both liquidity betas and commonality in liquidity) during earnings seasons.
Three Essays On Stock Market Seasonality
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Author : Hyung-suk Choi
language : en
Publisher:
Release Date : 2008
Three Essays On Stock Market Seasonality written by Hyung-suk Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Three Essays On Information Volatility And Crises In Equity Markets
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Author : Shane K. Clark
language : en
Publisher:
Release Date : 2015
Three Essays On Information Volatility And Crises In Equity Markets written by Shane K. Clark and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Three Essays In Intraday Momentum Market Efficiency And Market Liquidity
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Author : Ali Shakil Khan
language : en
Publisher:
Release Date : 2020
Three Essays In Intraday Momentum Market Efficiency And Market Liquidity written by Ali Shakil Khan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Dissertation Abstracts International
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Author :
language : en
Publisher:
Release Date : 2008
Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Dissertations, Academic categories.
The Empirical Analysis Of Liquidity
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Author : Craig Holden
language : en
Publisher: Now Publishers
Release Date : 2014-11-28
The Empirical Analysis Of Liquidity written by Craig Holden and has been published by Now Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-28 with Business & Economics categories.
We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Comprehensive Dissertation Index
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Author :
language : en
Publisher:
Release Date : 1989
Comprehensive Dissertation Index written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Dissertations, Academic categories.
Efficiency And Anomalies In Stock Markets
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Author : Wing-Keung Wong
language : en
Publisher: Mdpi AG
Release Date : 2022-02-17
Efficiency And Anomalies In Stock Markets written by Wing-Keung Wong and has been published by Mdpi AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-17 with Business & Economics categories.
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Earnings Management
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Author : Joshua Ronen
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-08-06
Earnings Management written by Joshua Ronen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-06 with Business & Economics categories.
This book is a study of earnings management, aimed at scholars and professionals in accounting, finance, economics, and law. The authors address research questions including: Why are earnings so important that firms feel compelled to manipulate them? What set of circumstances will induce earnings management? How will the interaction among management, boards of directors, investors, employees, suppliers, customers and regulators affect earnings management? How to design empirical research addressing earnings management? What are the limitations and strengths of current empirical models?