کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960250 929427 2014 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
News-driven return reversals: Liquidity provision ahead of earnings announcements
ترجمه فارسی عنوان
بازگشت به عقب اخبار: ارائه نقدینگی پیش از اعلام سود
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی

This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest that market makers demand higher expected returns prior to earnings announcements because of increased inventory risks that stem from holding net positions through the release of anticipated earnings news. Collectively, our findings suggest that uncertainty regarding anticipated information events elicits predictable increases in the compensation demanded for providing liquidity and that these increases significantly affect the dynamics and information content of market prices.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 114, Issue 1, October 2014, Pages 20–35
نویسندگان
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