Order aggressiveness as a metric to assess the usefulness of accounting information
AbstractMotivated by the availability of high-frequency data on trading activity, this paper proposes the use of order aggressiveness as a metric to evaluate the usefulness of accounting information. I test, through an analysis of order aggressiveness, whether earnings announcements of firms listed on the Italian Stock Exchange limit order book have information content. I estimate an ordered probit relating order aggressiveness to unexpected earnings and to three market determinants of aggressiveness. Consistent with the theory on the choice between limit and market orders, I find that order aggressiveness increases with the absolute value of unexpected earnings. The results provide evidence on the extent to which the information contained in earnings is used by traders.
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Bibliographic InfoArticle provided by Elsevier in its journal The International Journal of Accounting.
Volume (Year): 45 (2010)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/inca/620179
Decision usefulness metrics Market response to accounting information Traders' strategies Order aggressiveness Earnings announcements Ordered probit;
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