Asymmetric Information And The Distribution Of Trading Volume PDF Download
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Author | : Matthijs Lof |
Publisher | : |
Total Pages | : 72 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Asymmetric Information and the Distribution of Trading Volume Book in PDF, ePub and Kindle
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we find that firm-year observations of VCV, computed from daily trading volumes, are correlated with extant firm-level measures of asymmetric information in the cross-section of US stocks. Moreover, VCV increases following exogenous reductions in analyst coverage induced by brokerage closures, and steeply decreases around earnings announcements.
Author | : Dominique Dupont |
Publisher | : |
Total Pages | : 41 |
Release | : |
Genre | : |
ISBN | : |
Download Trading Volume and Information Distribution in a Market-clearing Framework Book in PDF, ePub and Kindle
Author | : Dominique Yves Dupont |
Publisher | : |
Total Pages | : 64 |
Release | : 1997 |
Genre | : Equilibrium (Economics) |
ISBN | : |
Download Trading Volume and Information Distribution in a Market-clearing Framework Book in PDF, ePub and Kindle
Author | : Lewis Gaul |
Publisher | : CreateSpace |
Total Pages | : 32 |
Release | : 2015-01-01 |
Genre | : |
ISBN | : 9781505310306 |
Download Ownership and Asymmetric Information Problems in the Corporate Loan Market Book in PDF, ePub and Kindle
In credit markets, asymmetric information problems arise when borrowers have private information about their creditworthiness that is not observable by lenders. If these informational asymmetries do not negatively affect lenders' profitability, then they are irrelevant to lenders.
Author | : Jonfilippo Fabiano |
Publisher | : |
Total Pages | : 40 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Asymmetric Information and Firms Trading Volume before a Scheduled Announcement Book in PDF, ePub and Kindle
It is generally known that trading volume is positively related to asymmetric information amongst investors, but when there is time discretion, the relation is likely to become negative. The aim of this paper is to empirically verify the existence of this inverse relation for a sample of Swiss listed firms. Trading volume trends are analysed before earnings announcements for a sample of 1540 events distributed across 85 firms from 1995 to 2006. I hypothesize that before an earnings announcement there is a decrease in the firm's trading liquidity due to the presence of asymmetric information amongst investors, and a positive relationship between trading volume and simultaneous changes in stock prices. Moreover, the magnitude of the price change should be higher in the case of a positive earnings release. Event analysis confirms a significant daily average decrease of about 2% in the abnormal volume turnover from 10 to 3 trading days before the announcement, while regression analysis reveals evidence that matching a lower decrease in trading liquidity there will be an upturn in the level of stock prices. Furthermore, the analysis reveals that prior to a positive announcement there will be a higher increase in the firm's share price. The analysis does not show evidence of any relationship between the decrease in trading liquidity, firm size and bid-ask spread.
Author | : Markus Konrad Brunnermeier |
Publisher | : Oxford University Press, USA |
Total Pages | : 264 |
Release | : 2001 |
Genre | : Business & Economics |
ISBN | : 9780198296980 |
Download Asset Pricing Under Asymmetric Information Book in PDF, ePub and Kindle
The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.
Author | : Dale Morse |
Publisher | : |
Total Pages | : 318 |
Release | : 1978 |
Genre | : Disclosure in accounting |
ISBN | : |
Download Asymmetrically Distributed Information in a Market Setting Book in PDF, ePub and Kindle
Author | : Takeshi Yamada |
Publisher | : |
Total Pages | : 106 |
Release | : 1993 |
Genre | : Stockholders |
ISBN | : |
Download Investor Heterogeneity, Trading Volume, and Asset Pricing Book in PDF, ePub and Kindle
Author | : G. Manjunatha |
Publisher | : Ary Publisher |
Total Pages | : 0 |
Release | : 2023-06-10 |
Genre | : |
ISBN | : 9782391241750 |
Download Asymmetric Information and Financial Markets Book in PDF, ePub and Kindle
This econometric analysis focuses on the relationship between asymmetric information and financial markets. The study aims to examine how the presence of asymmetric information affects market dynamics and outcomes. By utilizing advanced statistical techniques and econometric modeling, the research investigates the impact of information asymmetry on various financial market variables. The study analyzes the role of information asymmetry in influencing market efficiency, price formation, trading volume, and investor behavior. It explores how differences in information between market participants lead to market inefficiencies, such as mispricing and suboptimal trading strategies. Additionally, the research investigates the implications of asymmetric information for market liquidity, volatility, and the overall stability of financial markets. Through the econometric analysis, the study provides empirical evidence and insights into the effects of asymmetric information on financial markets. It aims to contribute to the existing literature by shedding light on the mechanisms through which information asymmetry influences market dynamics and outcomes. The findings have practical implications for investors, financial institutions, and policymakers, helping to enhance market transparency, investor protection, and the efficiency of financial markets. Overall, this econometric analysis delves into the relationship between asymmetric information and financial markets. By employing rigorous statistical techniques, it aims to understand the impact of information asymmetry on market variables, providing valuable insights for market participants and stakeholders. The research ultimately seeks to contribute to the understanding of market dynamics and inform strategies to mitigate the adverse effects of information asymmetry in financial markets.
Author | : Douglas Cumming |
Publisher | : OUP USA |
Total Pages | : 937 |
Release | : 2012-03-22 |
Genre | : Business & Economics |
ISBN | : 0195391241 |
Download The Oxford Handbook of Entrepreneurial Finance Book in PDF, ePub and Kindle
Provides a comprehensive picture of issues dealing with different sources of entrepreneurial finance and different issues with financing entrepreneurs. The Handbook comprises contributions from 48 authors based in 12 different countries.