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Order aggressiveness as a metric to assess the usefulness of accounting information

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  • Perotti, Pietro
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    Abstract

    Motivated 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 Info

    Article provided by Elsevier in its journal The International Journal of Accounting.

    Volume (Year): 45 (2010)
    Issue (Month): 3 (September)
    Pages: 306-333

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    Handle: RePEc:eee:accoun:v:45:y:2010:i:3:p:306-333

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    Web page: http://www.elsevier.com/locate/inca/620179

    Related research

    Keywords: Decision usefulness metrics Market response to accounting information Traders' strategies Order aggressiveness Earnings announcements Ordered probit;

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