The Impact Of Intraday Timing Of Earnings Announcements On The Bid Ask Spread And Depth PDF Download
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Author | : Maarten Pronk |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
Download The Impact of Intraday Timing of Earnings Announcements on the Bid-Ask Spread and Depth Book in PDF, ePub and Kindle
Libby, Mathieu and Robb (2002) investigate, among other things, the impact of intraday timing of earnings announcements on the bid-ask spread and depth for a sample of firms listed on the Toronto Stock Exchange. They document, in a univariate setting, that the spread is relatively wider and the depth lower after announcements declared during non-trading hours than after announcements released during trading hours. This study extends their research by (a) investigating earnings announcements declared by firms traded on the NYSE or AMEX, (b) addressing this issue in a multivariate setting, (c) exploring before-open and after-close announcements separately, and (d) analyzing the impact by half-hour interval. Interestingly, my results indicate, opposite to the findings by Libby et al (2002), that the spread is relatively smaller and the depth higher after overnight announcements than after daytime announcements. These findings are robust to firm-specific factors, cross-listings, differences in the content of daytime and overnight releases, and intraday timing consistency. In addition, this effect occurs both after before-open and after-close announcements, and the analysis by half-hour interval reveals that the impact on the spread (depth) lasts for four (seven) trading half-hours.
Author | : Charles M. C. Lee |
Publisher | : |
Total Pages | : 48 |
Release | : 1992 |
Genre | : Securities |
ISBN | : |
Download Spreads, Depths, and the Impact of Earnings Information Book in PDF, ePub and Kindle
Author | : John Shon |
Publisher | : FT Press |
Total Pages | : 225 |
Release | : 2011-03-09 |
Genre | : Business & Economics |
ISBN | : 0132615851 |
Download Trading on Corporate Earnings News Book in PDF, ePub and Kindle
Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
Author | : Luc Bauwens |
Publisher | : Springer Science & Business Media |
Total Pages | : 192 |
Release | : 2013-11-11 |
Genre | : Business & Economics |
ISBN | : 147573381X |
Download Econometric Modelling of Stock Market Intraday Activity Book in PDF, ePub and Kindle
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Author | : Gilad Livne |
Publisher | : |
Total Pages | : 266 |
Release | : 1996 |
Genre | : |
ISBN | : |
Download Market Equilibrium and the Intraday Timing of Public Announcements Book in PDF, ePub and Kindle
Author | : Thomas Rodney Noland |
Publisher | : |
Total Pages | : 220 |
Release | : 1992 |
Genre | : Investment analysis |
ISBN | : |
Download The Speed of the Market Response to Earnings Announcements and the Bid-ask Spread Book in PDF, ePub and Kindle
Author | : Douglas J. Skinner |
Publisher | : |
Total Pages | : 42 |
Release | : 1992 |
Genre | : |
ISBN | : |
Download Bid-ask Spreads Around Earnings Announcements Book in PDF, ePub and Kindle
Author | : DOUGLAS J. SKINNER |
Publisher | : |
Total Pages | : 40 |
Release | : 1993 |
Genre | : |
ISBN | : |
Download BID-ASKS AROUND EARNINGS ANNOUNCEMENTS: EVIDENCE FROM THE NASDAQ NATIONAL MARKET SYSTEM Book in PDF, ePub and Kindle
Author | : Lawrence E. Harris |
Publisher | : |
Total Pages | : 76 |
Release | : 1991 |
Genre | : Capital market |
ISBN | : |
Download Liquidity, Trading Rules, and Electronic Trading Systems Book in PDF, ePub and Kindle
Author | : Kiridaran (Giri) Kanagaretnam |
Publisher | : |
Total Pages | : 32 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Relationship between Analyst Forecast Properties and Equity Bid-Ask Spreads and Depths Around Quarterly Earnings Announcements Book in PDF, ePub and Kindle
We study the relationships between three variables which proxy for the ex-ante level of information asymmetry - forecast dispersion, forecast revision volatility, and the level of analyst coverage, and equity bid-ask spread and depth changes around quarterly earnings releases. Kim and Verrecchia, 1994 suggest that earnings releases increase the level of information asymmetry and lower the level of liquidity in the security market. Using both an OLS regression framework and a simultaneous equations model, we examine whether equity bid-ask spreads increase and depths decrease as the level of information asymmetry increases. Our results indicate that spreads are higher (relative to a non-event period) around earnings announcements when information asymmetry is more pronounced; however, depths are lower only on the day following the announcement when there is greater information asymmetry. Relative spreads have a significant positive relation with both forecast dispersion and revision volatility and a significant negative relation with analyst coverage. Relative depths have a significant negative relation with forecast dispersion and a significant positive relation with analyst coverage. Our findings indicate that the equity specialist adjusts both spreads and depths when confronting informed traders around earnings releases and that these adjustments are more pronounced when the level of information asymmetry is greater.