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Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium
16 references·6 citing·31 second hop
Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium (2015)Asymmetric decrease in liquidity trading …Managerial Decisions and Long‐Term Stock Price Performance (2000)Managerial Decisions and Long…Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility (2000)Corporate Disclosure Practice…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Liquidity and Market Structure (1988)Liquidity and Market StructureA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Investor information gathering and the resolution of uncertainty (2022)Investor information gatherin…Beyond the blockchain announcement: Signaling credibility and market reaction (2022)Beyond the blockchain announc…Geopolitical Risk and Trading Patterns of Foreign and Domestic Investors: Evidence from Korea (2019)Geopolitical Risk and Trading…Does financial statement comparability mitigate delayed trading volume before earnings announcements? (2019)Does financial statement comp…Do Investors Fully Unravel Persistent Pessimism in Analysts' Earnings Forecasts? (2017)Do Investors Fully Unravel Pe…Do Temporary Increases in Information Asymmetry Affect the Cost of Equity? (2014)Do Temporary Increases in Inf…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)Capital markets research in accounting (2001)In Search of Attention (2011)The Equity Share in New Issues and Aggregate Stock Returns (2000)Chapter 18 A survey of behavioral finance (2003)Market liquidity as a sentiment indicator (2004)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
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  • 2000Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility1,539 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

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1,009 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1980Dealership market965 cited
  • Cited by

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    • 2022Beyond the blockchain announcement: Signaling credibility and market reaction32 cited
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    • 2019Does financial statement comparability mitigate delayed trading volume before earnings announcements?23 cited