Market liquidity and volume around earnings announcements

Kim, Oliver; Verrecchia, Robert E.

doi:10.1016/0165-4101(94)90004-3

Cited by 1,448 publications

(819 citation statements)

References 14 publications

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“…This is because the information not disclosed at the issue stage may still be uncovered by sophisticated investors later on, especially if it enables them to earn large rents in secondary market trading. 6 So limiting transparency at the issue stage induces more subsequent information acquisition by sophisticated investors and shifts the adverse selection problem to the secondary market, reducing its liquidity or even inducing 4 In keeping with this argument, Kim and Verrecchia (1994) show that earnings announcements lead to lower market liquidity if they allow sophisticated traders to increase their informational advantage over other traders. The same argument is used by Goel and Thakor (2003) to rationalize earning smoothing: to maintain a liquid market for their stocks, companies will smooth earnings so as to reduce the informational rents of sophisticated investors.…”

mentioning

confidence: 68%

Securitization, Transparency, and Liquidity

Pagano¹,

Volpin²

2012

Rev. Financ. Stud.

122

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mentioning

confidence: 68%

Securitization, Transparency, and Liquidity

Pagano¹,

Volpin²

2012

Rev. Financ. Stud.

122

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“…Yet, for the U.S. sample, the same result cannot be found, a fact that may be linked to the liquidity and informational environment of this market, which is bigger than the Brazilian one, resulting in information being discounted from share prices faster than in Brazil; also similar to what was mentioned in section 2.1 in this study (Lee et al, 1993;Kim & Verrecchia, 1994;Blankespoor et al, 2014).…”

Section: Results For the Influence Of Social Network On The Pricing mentioning

confidence: 42%

“…Looking at information asymmetry, Blankespoor et al (2014) emphasize in their work that, at least in the short term, the release of a particular item of news can really increase information asymmetry (if it is used for this objective); however, Kim and Verrecchia (1994) and Lee, Mucklow, and Ready (1993) found empirical evidence that increases in information asymmetry last less than an hour.…”

Section: Social Network and Information Asymmetrymentioning

confidence: 99%

Assimetria Informacional e o Preço das Ações: Análise da Utilização das Redes Sociais nos Mercados de Capitais Brasileiro e Norte-americano

Arruda

Girão

Lucena

2015

Rev. contab. finanç.

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Increasing globalization has meant the internet becoming ever more part of the routine of people around the world. With the evolution of the internet, social networks have emerged in order to facilitate communication between people, communities and even between corporations. Social networks offer companies a way of instantly releasing information, allowing those who use this information greater flexibility when searching for news about the companies in which they have invested or wish to invest. In this context, the objective of this study was to analyze how social networks (Facebook, Twitter and Youtube) affect levels of information asymmetry and the pricing of shares for Brazilian and U.S. public companies during 2012. To achieve the proposed goal, the conceptual framework of the Ohlson model (1995) was used to verify whether the information posted on social networks affects the pricing of shares, and share price volatility was used as a proxy for information asymmetry. The sample included 170 Brazilian companies listed on the BM&FBOVESPA and 100 companies listed on the U.S. stock market in 2012. The results show that social networks can affect levels of information asymmetry in these markets, but only "unofficial" Facebook affects the pricing of shares for companies in the Brazilian stock market, although sensitivity analysis indicated that the groups that use and those that do not use Facebook do not exhibit different average returns. Thus, investors should not use this information to devise strategies to generate better returns.Palavras-chave: social networks, information asymmetry, pricing of shares.

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“…First, the above-mentioned literature suggests that lower information asymmetry between investors is associated with decreased bid-ask spreads. This notion is supported, for instance, by a model developed by Kim and Verrecchia (1994), in which uninformed market makers increase bid-ask spreads to compensate for losses resulting from trading with more informed investors. Empirical support for this notion is provided by Glosten and Harris (1988), Welker (1995), Coller and Yohn (1997), Healy et al (1999) or Leuz and Verrecchia (2000).…”

Section: Hypothesis Developmentmentioning

confidence: 75%

Let’s talk strategy: the impact of voluntary strategy disclosure on the cost of equity capital

Sieber

Weißenberger

Oberdörster

et al. 2014

Bus Res

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This paper deals with the impact of voluntary strategy disclosure in management reports on the cost of equity capital. Such an impact is not obvious, as investors might consider strategy information as “cheap talk” and therefore ignore it. We analyze a sample of 100 German listed firms from 2002 to 2008, measuring strategy disclosure levels using hand-collected strategy disclosure scores. We find that higher disclosure levels are, on average, associated with lower cost of equity capital even after controlling for overall disclosure quality. The paper contributes to the field by providing evidence that voluntary strategy disclosures in firms’ management reports reduce the information asymmetry component of cost of capital and therefore can be considered as a relevant source of information for investors.

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Market liquidity and volume around earnings announcements

Cited by 1,448 publications

References 14 publications

Securitization, Transparency, and Liquidity

Securitization, Transparency, and Liquidity

Assimetria Informacional e o Preço das Ações: Análise da Utilização das Redes Sociais nos Mercados de Capitais Brasileiro e Norte-americano

Let’s talk strategy: the impact of voluntary strategy disclosure on the cost of equity capital

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