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The impact of order flow on event study returns: New evidence from zero-leverage firms

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  • Zhang, Sijia
  • Gregoriou, Andros

Abstract

We empirically examine the initial loan announcement period of 96 zero-leverage firms listed on the FTSE 350 index. Our research demonstrates that there is a clear tendency that trades are executed at the ask price during the initial loan announcement period, which are regarded as favorable firm-level news. Similar results are observed for subsamples formed on the basis of trade size. Order flow disruption causes a bias in the calculation of returns around the company event announcement.

Suggested Citation

  • Zhang, Sijia & Gregoriou, Andros, 2021. "The impact of order flow on event study returns: New evidence from zero-leverage firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 627-634.
    • Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:627-634
    DOI: 10.1016/j.qref.2021.04.014
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    More about this item

    Keywords

    Order flow ratio; Liquidity; Bid-ask spread; Bid-ask bounce;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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