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A Signaling or Commitment Device? The Role of Voluntary IPO Lockup in China's Stock Market

Han, Tao - 2019

The literature suggests that voluntary IPO lockups (thereafter lockups) have both roles as a commitment device to control moral hazard and a signaling device to minimize asymmetric information. Using a hand collected data on lockups in China from 2006 to 2012, this paper disentangles the two...

Persistent link: https://www.econbiz.de/10012895931

S&P 500 Inclusions and Stock Supply

Schnitzler, Jan - 2018

I provide new evidence of the S&P500 inclusion effect that highlights the importance of stock supply. If excess demand from S&P500-linked capital drives the inclusion effect, it should depend as well on the effective supply of a stock. Standard & Poor's index methodology gives two distinct...

Persistent link: https://www.econbiz.de/10012936384

Consumption-Based Equity Valuation

Bach, Christian - 2016

Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...

Persistent link: https://www.econbiz.de/10013003022

Information Processing on Equity Prices and Exchange Rate for Cross Listed Stocks

Scherrer, Cristina Mabel - 2020

This paper investigates the dynamics of information processing for equity prices and the exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow....

Persistent link: https://www.econbiz.de/10012851381

Stock liquidity, stock price crash risk, and foreign ownership

Alp, Ozge Sezgin; Canbaloglu, Bilge; Gurgun, Gozde - In: Borsa Istanbul Review 22 (2022) 3, pp. 477-486

This study examines the impact of stock market liquidity on a stock price crash, using firm data from Borsa Istanbul … for the period 2009-2019. The results show that higher stock liquidity increases the likelihood of stock price crashes … investors, divided between institutional and individual investors, on the relation between liquidity and crash risk. The …

Persistent link: https://www.econbiz.de/10013334773

Investor Composition and Liquidity : An Analysis of Japanese Stocks

Jiang, Hao - 2014

liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …

Persistent link: https://www.econbiz.de/10013065675

Financial distress and stock comovement : Evidence, explanation, and implication

Fang, Jing - 2022

Contrary to the financial distress premium notion, the stocks of financially distressed firms comove least. Financially distressed firms are characterized by high valuation uncertainty and information and arbitrage frictions. Therefore, their stocks are prone to mispricing and their stock price...

Persistent link: https://www.econbiz.de/10013291062

Price, Volume and Liquidity Effects of Stocks Entering and Leaving Jakarta Islamic Index

Listyaningsih, Erna - 2015

Previous studies have documented that price and liquidity effects are associated with changes in stock market indices … due to bankruptcy, mergers, or tender offers. This study investigates price, volume and liquidity effects of stocks … capitalisation and liquidity have the same impacts. We find that stocks entering JII earn positive and statistically significant …

Persistent link: https://www.econbiz.de/10013034183

Measuring and modelling the market liquidity of stocks : methods and issues

Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - In: Journal of finance and investment analysis 1 (2012) 4, pp. 89-129

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be … liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently … available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress …

Persistent link: https://www.econbiz.de/10009746071

Liquidity Measure Distortions in Fast Markets : Expensive and Cheap Solutions

Holden, Craig W. - 2014

We investigate how the increase in speed of U.S. equity markets has distorted liquidity measures. We find that the …

Persistent link: https://www.econbiz.de/10013066461