Information processing in the stock market around anticipated accounting information: earnings release
Earnings announcements are anticipated events with significant price impacts. This fact can motivate informed traders to trade on private information and liquidity providers to reduce liquidity in order to be careful about insider trading. In this paper, we examine the effect of earnings announcements on information asymmetry. Specifically, we investigate whether liquidity suppliers value the possibility of trading with informed agents and whether market behaviour reflects this. To achieve this objective, we take into account the sign of the surprise, the quarter of the announcement, the quantity of previous information and the quality of the information released. One of the main results of the paper is the support of market efficiency. This result is important nowadays since this hypothesis is being questioned after the irruption of the financial crisis.
Year of publication: |
2012
|
---|---|
Authors: | García, C. José ; Herrero, Begoña ; Ibáñez, Ana M. |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 18.2012, 2, p. 109-133
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
El papel de la liquidez en el efecto de la nueva información : el caso del Latibex
García Martín, C. José, (2010)
-
Information and investor behavior surrounding earnings announcements
García Martín, C. José, (2014)
-
García Martín, C. José, (2012)
- More ...