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CHAPTER TWO LITERATURE REVIEW
CHAPTER THREE LATE EARNINGS ANNOUNCEMENTS
CHAPTER FOUR ADVERSE SELECTION COSTS AND LIQUIDITY
5 other sections not shown
1990 volume decile actual announcement date adverse selection costs announcement delay annual earnings announcements arrival rates ask prices asymmetric information average spread bid and ask bid-ask spreads buy and sell calculated Corp correlation CRSP cumulative abnormal buy cumulative abnormal returns Cumulative Distribution deﬁned delay period eighth decile expected announcement date ﬁles ﬁnd ﬁnding ﬁrst ﬁrst decile ﬁscal quarters inactive stocks information asymmetry information based trading information event occurs information-based trading informed investors informed trading Kross late announcements late earnings announcements likelihood function market maker market microstructure mean microstructure model negative abnormal returns null hypothesis NYSE opening spread order arrival Panel parameter estimates Pastena Penman percentage spreads Poisson process predicted private information Prob(Inf probability of informed rate of uninformed reﬂect regression sample sell volume short selling signiﬁcant signiﬁcantly speciﬁc statistically signiﬁcant stock price strategy test statistic trading day trading volume variables volume decile Ticker