Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market
Download full text from publisher
References listed on IDEAS
- Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 2000. "The costs and determinants of order aggressiveness," Journal of Financial Economics, Elsevier, vol. 56(1), pages 65-88, April.
- Woodruff, Catherine S & Senchack, A J, Jr, 1988. " Intradaily Price-Volume Adjustments of NYSE Stocks to Unexpected Earnings," Journal of Finance, American Finance Association, vol. 43(2), pages 467-491, June.
- Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
- repec:bla:joares:v:29:y:1991:i:2:p:302-321 is not listed on IDEAS
- Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-1861, December.
- Demski, Joel S. & Feltham, Gerald A., 1994. "Market response to financial reports," Journal of Accounting and Economics, Elsevier, vol. 17(1-2), pages 3-40, January.
- Yohn, Teri Lombardi, 1998. "Information Asymmetry around Earnings Announcements," Review of Quantitative Finance and Accounting, Springer, vol. 11(2), pages 165-182, September.
- Maria Jose Arcas Pellicer & William Page Rees, 1999. "Regularities in the equity price response to earnings announcements in Spain," European Accounting Review, Taylor & Francis Journals, vol. 8(4), pages 585-607.
- Daniella Acker & Mathew Stalker & Ian Tonks, 2002.
"Daily Closing Inside Spreads and Trading Volumes Around Earnings Announcements,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 29(9&10), pages 1149-1179.
- Ian Tonks & Daniella Acker & Matthew Stalker, 2002. "Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements," FMG Discussion Papers dp404, Financial Markets Group.
- Acker, Daniella & Stalker, Mathew & Tonks, Ian, 2002. "Daily closing inside spreads and trading volumes around earnings announcements," LSE Research Online Documents on Economics 24908, London School of Economics and Political Science, LSE Library.
- Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
- Gennotte, Gerard & Trueman, Brett, 1996. "The Strategic Timing of Corporate Disclosures," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 665-690.
- Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
- Diamond, Douglas W, 1985. " Optimal Release of Information by Firms," Journal of Finance, American Finance Association, vol. 40(4), pages 1071-1094, September.
- Corrado, Charles J., 1989. "A nonparametric test for abnormal security-price performance in event studies," Journal of Financial Economics, Elsevier, vol. 23(2), pages 385-395, August.
- PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," CORE Discussion Papers 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
More about this item
KeywordsAnuncios de resultados; liquidez; actividad negociadora; volatilidad; asimetría informativa Earnings announcements; liquidity; trading activity; volatility; information asymmetry;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
- M49 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-05 (All new papers)
- NEP-FIN-2006-02-05 (Finance)
- NEP-FMK-2006-02-05 (Financial Markets)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:2005-16. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Edición). General contact details of provider: http://edirc.repec.org/data/ievages.html .