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Hidden liquidity: Determinants and impact

Cebiroğlu, Gökhan; Horst, Ulrich - 2012

and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs …, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … market, hidden liquidity provision gives rise to negative liquidity externalities. …

Persistent link: https://www.econbiz.de/10010281537

Discontinued positive feedback trading and the decline of momentum profitability

Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - 2021

We present evidence that equity momentum strategies are partially driven by positive-feedback trading intermediated via the mutual fund sector. We identify a U.S.-specific structural break to this channel that substantially weakened the relationship between fund flows and past style returns. As...

Persistent link: https://www.econbiz.de/10012582659

Are analyst trade ideas valuable?

Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Persistent link: https://www.econbiz.de/10012120228

Analyst Tipping : Additional Evidence

Markov, Stanimir - 2020

We examine whether analysts tip investors during investor conferences. We find that conference-day abnormal returns of a presenting company are about 0.6% higher when the conference is hosted by an analyst who will initiate coverage with a Buy recommendation than when the conference is hosted by...

Persistent link: https://www.econbiz.de/10012857432

Credit Risk and Anomalies in Pakistan’s Stock Market

Qayyum, Abdul - 2019

size effect as well as the momentum and liquidity effects. This study provides evidence that the default-risk anomaly holds …

Persistent link: https://www.econbiz.de/10012869009

Fixed Price and Book Building Methods Under Exogenous Environment : Evidence from Indonesia Stock Market

Hanafi, Mamduh M. - 2018

We compare fixed price and book building methods in Indonesia stock market. We take advantage of unique setting in Indonesia market: companies do not have choice on their IPO method. We believe that this exogenous setting provides cleaner results, relatively free from endogenous related...

Persistent link: https://www.econbiz.de/10012929177

Crash Risk and Seasoned Equity Offerings

Boehme, Rodney D - 2018

Using a large sample of U.S. firms during 1987–2011, we find robust evidence that the issuance of seasoned equity is associated with abnormally high future stock price crash risk. The association between seasoned equity offerings and crash risk is stronger among offerings that involve the sale...

Persistent link: https://www.econbiz.de/10012936866

Can analysts assess fundamental risk and valuation uncertainty? : an empirical analysis of scenario-based value estimates

Joos, Peter; Piotroski, Joseph D.; Srinivasan, Suraj - 2015

We use a dataset of sell-side analysts' scenario-based equity valuation estimates to examine whether analysts can assess the state-contingent risk surrounding a firm's fundamental value. We find that the spread in analysts' scenario-based valuations captures the riskiness of operations and...

Persistent link: https://www.econbiz.de/10011864659

The liquidity cost of private equity investments : evidence from secondary market transactions

Nadauld, Taylor D.; Sensoy, Berk A.; Vorkink, Keith; … - 2017

returns by supplying liquidity to investors wishing to exit …

Persistent link: https://www.econbiz.de/10011962229

Hidden liquidity : determinants and impact

Cebiroglu, Gökhan; Horst, Ulrich - 2012

Persistent link: https://www.econbiz.de/10009506557

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