کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960284 929431 2006 41 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
چکیده انگلیسی

This paper investigates the components of liquidity risk that are important for understanding asset-pricing anomalies. Firm-level liquidity is decomposed into variable and fixed price effects and estimated using intraday data for the period 1983–2001. Unexpected systematic (market-wide) variations of the variable component rather than the fixed component of liquidity are shown to be priced within the context of momentum and post-earnings-announcement drift (PEAD) portfolio returns. As the variable component is typically associated with private information [e.g., Kyle, 1985. Econometrica 53, 1315–1335], the results suggest that a substantial part of momentum and PEAD returns can be viewed as compensation for the unexpected variations in the aggregate ratio of informed traders to noise traders.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 80, Issue 2, May 2006, Pages 309–349
نویسندگان
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