Using a sample of 219 firms listed on the FTSE 350 index from 2000-2022, we discover that both the PEAD and price asymmetry effect is stronger for firms around the earning announcement period. Price continuations (reversals) following buys (sales) are present, asymmetric price impact exists for...

Based on the panel data of Japan from 2011 to 2019, we utilizes the Principal Component Analysis (PCA) and Directed Acyclic Graphs (DAGs) for constructing the digitalization development index and the digitalization spillover effects. We find that in general, even the digitalization development...

Based on the panel data of Japan from 2011 to 2019, we utilizes the Principal Component Analysis (PCA) and Directed Acyclic Graphs (DAGs) for constructing the digitalization development index and the digitalization spillover effects. We find that in general, even the digitalization development...

We conduct an event study around the earning announcement to examine the asymmetric post earnings announcement drift, and its relationship with the order follow imbalance on post earnings announcement period. The earning drift is significantly asymmetric, stocks with good news have less drift,...