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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
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Analysts’ Stock Recommendations, Cash Flow Valuations, and Stock Return Profitability
Duboisée de Ricquebourg, Alan J. - 2017
We examine the relationship between analysts' stock recommendations and cash flow forecasts, and whether these recommendations and cash flow forecasts provide investors with useful information to identify mispriced securities. In doing so, the paper contributes to the ongoing debate regarding...
Persistent link: https://www.econbiz.de/10012971089
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The Impact of Global Financial Crisis on IPO Underpricing in Malaysian Stock Market
Leow, Hon-Wei - 2015
This study examines the impact of global financial crisis (GFC) on Initial Public Offering (IPO) underpricing in the context of an emerging market from January 2006 to December 2011. Models consist of hierarchical and multivariate regressions have been evaluated. Our results show, firstly, by...
Persistent link: https://www.econbiz.de/10013022026
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Analyst Recommendations and International Stock Market Returns
Berkman, Henk - 2016
This paper shows that analyst recommendations aggregated at the country level predict international stock market returns. A trading strategy based on past country-level recommendations yields an abnormal return of around 0.9 percent per month. Aggregate analyst recommendations also predict...
Persistent link: https://www.econbiz.de/10012986529
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No Signal is Bad Signal : Analyst Silence after On-Site Visit
Chang, Danting - 2018
We study a unique Chinese dataset of equity analysts' on-site visits to publicly listed companies. We find that analyst silence (no release of report from visit date to the next quarterly earnings announcement) contains information that negatively impacts both stock returns and earnings...
Persistent link: https://www.econbiz.de/10012916676
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Can Stock Analysts Predict Volatility?
Medovikov, Ivan - 2018
We assess investment value of sell-side analyst recommendations from the standpoint of portfolio risk. We match I/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns up to one year following recommendation issue....
Persistent link: https://www.econbiz.de/10012917695
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Market Reactions to Stock Rating and Target Price Changes in Analyst Reports : Evidence from Japan
Ishigami, Shohei - 2019
We aim to perform a comprehensive analysis of the effects of stock ratings and target prices published in the Japanese markets using a large number of analyst reports. Our study is the first to cover reports published by six domestic brokerage firms and ten foreign brokerage firms. In addition...
Persistent link: https://www.econbiz.de/10012902695
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High Frequency Market Making to Large Institutional Trades
Korajczyk, Robert A. - 2019
We study market-making high-frequency trader (HFT) dynamics around large institutional trades in Canadian equities markets using order-level data with masked trader identification. Following a regulatory change that negatively affected HFT order activity, we find that bid-ask spreads increased...
Persistent link: https://www.econbiz.de/10012904436
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The Long-Run Performance of IPOs in Italy : A Comparison of Venture and Non-Venture-Backed Companies
Rossi, Fabrizio - 2013
The phenomena associated with the performance of newly listed companies has increased the interest of many researchers who have developed a vast literature on long-term underpricing and underperformance, which together with hot and cold issue markets, represent the three anomalies that have...
Persistent link: https://www.econbiz.de/10013089376
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Idiosyncratic Return Volatility and Price Informativeness : Evidence from Stock Splits
Liu, Mark H. - 2013
Whether higher idiosyncratic return volatility means more or less informative stock prices is an ongoing debate. All the existing literature relies on cross-sectional evidence, which makes it hard to isolate the effects of price informativeness on idiosyncratic volatility from other effects. I...
Persistent link: https://www.econbiz.de/10013091400