Market Microstructure In The Uk The Behaviour Of Bid Ask Spreads Around Earnings Announcements
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Market Microstructure and Earnings Announcements
Author | : Cameron Hai Au Truong |
Publisher | : |
Total Pages | : 336 |
Release | : 2006 |
Genre | : Corporate profits |
ISBN | : |
"This thesis consists of three studies that examine the behaviour of stock prices around earnings announcements in the United States and Australia. It provides empirical evidence on how investors react to information released in earnings announcements and explores important methodological issues for research studying earnings announcements" -- Synopsis.
The Speed of the Market Response to Earnings Announcements and the Bid-ask Spread
Author | : Thomas Rodney Noland |
Publisher | : |
Total Pages | : 220 |
Release | : 1992 |
Genre | : Investment analysis |
ISBN | : |
Trading and Exchanges
Author | : Larry Harris |
Publisher | : OUP USA |
Total Pages | : 664 |
Release | : 2003 |
Genre | : Business & Economics |
ISBN | : 9780195144703 |
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Bid-ask Spreads Around Earnings Announcements
Author | : Daniella Acker |
Publisher | : |
Total Pages | : 33 |
Release | : 2000 |
Genre | : Corporate profits |
ISBN | : |
Earnings Announcements and the Components of the Bid-Ask Spread
Author | : Jason Lee |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
This study investigates the behavior of the components of the bid-ask spread around earnings announcements. The authors find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly decline during the same periods. Their results suggest that the directional change in the total bid-ask spread depends on the relative magnitudes of the changes in these three components. Specifically, the decreases in inventory holding costs and order processing costs imply that earnings announcements may have an insignificant impact on the total bid-ask spread, even when they result in increased information asymmetry.Copyright 1996 by American Finance Association.
Empirical Market Microstructure
Author | : Joel Hasbrouck |
Publisher | : Oxford University Press |
Total Pages | : 209 |
Release | : 2007-01-04 |
Genre | : Business & Economics |
ISBN | : 0198041306 |
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.