By employing two alternative measures of fundamental value, we re-examine the value relevance of accounting information …). Overall, we do not find evidence that there is a loss over time in the value relevance of accounting information with respect …

quality of accounting information (or “accounting quality”) is one such information imperfection that is associated with cross …-sectional variation in stock price delay. We define accounting quality as the precision with which financial reports convey information to … equity investors about the firm's expected cash flows. Poor accounting quality is likely associated with higher expected …

We test the hypotheses that (i) poor accounting quality is associated with delayed stock price adjustment to … information, and (ii) the accounting quality component of price delay predicts stock returns. We define accounting quality as the … results suggest poor accounting quality is associated with less timely price adjustment and higher future stock returns …

We examine whether option prices correct for predictable bias in stock prices associated with accounting anomalies … stock prices. Further analysis suggests that high costs of trading options — implied volatility premiums and transaction …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

greatest impediment to market efficiency. We also find that the impact of idiosyncratic volatility on the Vo/P anomaly is more …

High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar … trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm …