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Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets [PDF]
, 2010 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between information asymmetry cost component and Post
Nguyen, Ngoc Dung
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Asset Liquidity and Stock Liquidity [PDF]
Journal of Financial and Quantitative Analysis, 2012 AbstractWe study the relation between asset liquidity and stock liquidity. Our model shows that the relation may be either positive or negative depending on parameter values. Asset liquidity improves stock liquidity more for firms that are less likely to reinvest their liquid assets (i.e., firms with less growth opportunities and financially ...
Gopalan, Radhakrishnan +2 more
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The Examination Effect of Liquidity trading companies on Stock Liquidity of Companies Listed in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالی, 2013 Stock liquidity is one of the criteria that the investors consider in their portfolio decisions. The earning management is one of the other factors that influences stock liquidity.
saeed fathi +4 more
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Liquidity in the German Stock Market [PDF]
Schmalenbach Business Review, 2019 This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra).
Johann, Thomas +4 more
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Stock Returns and the Volatility of Liquidity [PDF]
Journal of Financial and Quantitative Analysis, 2008 AbstractThis paper offers a rational explanation for the puzzling empirical fact that stock returns decrease with an increase in the volatility of liquidity. We model liquidity as a stochastic price impact process and define the liquidity premium as the additional return necessary to compensate a multiperiod investor for the adverse price impact of ...
Pereira, J., Zhang, H.
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The effect of stock liquidity on the risk of falling stock prices: Evidence from the Tehran Stock Exchange [PDF]
Management Science Letters, 2015 Liquidity of the stock exchanges plays essential role on investment decisions and it is one of the factors that may influence on stock price. The easier one can buy/sell shares of a firm, the higher liquidity the firm has.
Mehdi Moghanloo, Hasan Madrakian
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The Effect of Financial Analysts’ Coverage on the Relationship of Stock Liquidity to Stock Price Crash Risk [PDF]
المجلة العلمية للبحوث التجارية - جامعة المنوفيةThis study has tested the effect of stock liquidity on stock price crash risk, and the effect of financial analysts’ coverage as a Modified variable on the relationship between stock liquidity and stock price crash risk in joint stock companies ...
دلال محمد +1 more
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Stock repurchases and liquidity
Journal of Financial Economics, 2013 We analyze the impact of share repurchases on liquidity based on a new comprehensive data set of realized share repurchases in the US, which covers 50,204 repurchase months between 2004 and 2010. Using instrumental variable analysis, we show that repurchases unequivocally improve liquidity and suggest that endogenous controls have confounded results in
Hillert, Alexander +2 more
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Privatization and stock market liquidity [PDF]
Journal of Banking & Finance, 2005 This paper identifies share issue privatization (SIP) as a source of variation in market liquidity. SIP is shown to affect turnover and price impact of 19 stock market indexes. Furthermore, we provide evidence of spillover effects of SIP on the price impact of private companies.
NICODANO, Giovanna +3 more
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STOCK SPLIT DAN LIKUIDITAS SAHAM DI BEI: PENGUJIAN MENGGUNAKAN HIPOTESIS LIKUIDITAS
Jurnal Akuntansi dan Keuangan Indonesia, 2010 This study aims to re-examine the effectiveness of liquidity hypothesis in stock split. Liquidity hypothesis in stock split is defined as the returning stock price to the optimal trading level.
Ignatius Roni Setyawan
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