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High-Frequency Measures of Informed Trading and Corporate Announcements

Brennan, Michael J. - 2017

We study informed trading around announcements of merger bids (M&AD) and quarterly earnings (EAD). Extending the EKOP (1996) approach, we compute the daily posterior probabilities of informed trading on good and bad news. We find evidence of informed trading before and after M&AD and EAD. A...

Persistent link: https://www.econbiz.de/10012972038

Asymmetric effects of informed trading on the cost of equity capital

Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: Management science : journal of the Institute for … 62 (2016) 9, pp. 2460-2480

Persistent link: https://www.econbiz.de/10011577121

High-frequency measures of informed trading and corporate announcements

Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 31 (2018) 6, pp. 2326-2376

Persistent link: https://www.econbiz.de/10011926626

Comovements of earnings, dividends, and stock prices

Lee, Bong-soo - In: Journal of empirical finance 3 (1996) 4, pp. 327-346

Persistent link: https://www.econbiz.de/10001215365

Permanent, temporary, and non-fundamental components of stock prices

Lee, Bong-soo - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10001243210

Time-series implications of aggregate dividend behavior

Lee, Bong-soo - In: The review of financial studies 9 (1996) 2, pp. 589-618

Persistent link: https://www.econbiz.de/10001202790

Capital investment and earnings : international evidence

Inci, Ahmet Can; Lee, Bong-soo; Suh, Jungwon - In: Corporate governance : an international review 17 (2009) 5, pp. 526-545

Persistent link: https://www.econbiz.de/10003897505

Long-term evidence on the effect of aggregate earnings on prices

Chen, Yunhao; Jiang, Xiaoquan; Lee, Bong-soo - In: Financial management 44 (2015) 2, pp. 323-351

Persistent link: https://www.econbiz.de/10011372613

Management earnings forecasts, insider trading, and information asymmetry

Kraft, Anastasia; Lee, Bong-soo; Lopatta, Kerstin - In: The journal of corporate finance : contracting, … 26 (2014), pp. 96-123

Persistent link: https://www.econbiz.de/10010382647

Investor perceptions of earnings processes and post-announcement drifts

Lee, Bong-soo; Rui, Oliver Meng - In: Asia-Pacific journal of financial studies 40 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009388598