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.
- 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.
- 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.
- Ian Tonks & Daniella Acker & Matthew Stalker, 2002. "Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements," FMG Discussion Papers dp404, Financial Markets Group.
- 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).
- 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.
- 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.
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 .