Purpose: The purpose of this paper is to examine stock market reactions and liquidity effects following the first bank loan announcement of zero-leverage firms. Design/methodology/approach: The authors use an event studies methodology in both a univariate and multivariate framework. The authors...

Purpose: We examine the impact of market frictions in the form of trading costs on investor average holding periods for stocks in the S&P global 1200 index to examine constraints on international portfolio diversification. Design/methodology/approach: We determine whether it is appropriate to...

Purpose: This paper aims to empirically examine the relationship between stock liquidity and asset pricing, using a new price impact ratio adjusted for free float as the approximation of liquidity. The free-float-adjusted ratio is free from size bias and encapsulates the impact of trading...

Purpose – This paper aims to examine the price impact of block trades for FTSE 100 firms. Design/methodology/approach – Using event studies a sample of 1.6 million block purchases and 1.2 million block sales over the time period 1998-2005 is analysed. Findings – Once block price effects...

Purpose – The purpose of this paper is to investigate the impact of the components of the bid-ask spread around earnings announcements on the London Stock Exchange using intraday data obtained from the ICV Marketeye database. The paper finds that the information asymmetry cost component...

Purpose – The purpose of this paper is to test for and model non-linearities in option price deviations from the Black Scholes (BS) model in FTSE 100 index options over the time period 1997-2006. Design/methodology/approach – The economic specification and estimation methodology is outlined,...

Purpose – This paper aims to examine the price impact of block trades for FTSE 100 firms. Design/methodology/approach – Using event studies a sample of 1.6 million block purchases and 1.2 million block sales over the time period 1998‐2005 is analysed. Findings – Once block price effects...

Purpose – The purpose of this paper is to test for and model non‐linearities in option price deviations from the Black Scholes (BS) model in FTSE 100 index options over the time period 1997‐2006. Design/methodology/approach – The economic specification and estimation methodology is...

Purpose – The purpose of this paper is to investigate the impact of the components of the bid‐ask spread around earnings announcements on the London Stock Exchange using intraday data obtained from the ICV Marketeye database. The paper finds that the information asymmetry cost component...

Purpose The purpose of this paper is to test and model non-linearities in block price deviations when they are executed outside the bid-ask quotes. The author conducts an empirical analysis on 662,312 transactions that were traded outside the bid-ask quotes in 2014 on the London Stock Exchange....