Does earnings quality affect information asymmetry? Evidence from trading costs. Journal of Financial and Quantitative Analysis, 32, 287–310.īhattacharya, N., Desai, H., & Venkataraman, K. A comparison of trade execution costs for NYSE and Nasdaq-listed stocks. Journal of Accounting Research, 47, 71–103.īessembinder, H., & Kaufman, H. Eventday 0? After-hours earnings announcements. Journal of Accounting Research, 56, 1039–1081.īerkman, H., & Truong, C. Disentangling managers’ and analysts’ non-GAAP reporting. Audit quality and properties of analyst earnings forecasts. Journal of Accounting and Economics, forthcoming.īehn, B. Increased market response to earnings announcements in the 21st century: An empirical investigation. Trading volume and different aspects of disagreement coincident with earnings announcements. The Accounting Review, 70, 417–441.īamber, L., Barron, O., & Stober, T. Differential price and volume reactions to accounting earnings announcements. Review of Accounting Studies, 11, 5–19.īamber, L., & Cheon, Y. Stock price reaction to evidence of earnings management: Implications for supplementary financial disclosure. Journal of Financial Economics, 75, 245–282.īaber, W., Chen, S., & Kang, S. Information content of equity analyst reports. The European Journal of Finance, 23, 781–801.Īsquith, P., Mikhail, M., & Au, A. Trade size, high-frequency trading, and colocation around the world. Do analysts’ earnings forecasts incorporate information in prior stock price changes? Journal of Accounting and Economics, 142, 147–165.Īitken, M., Cumming, D., & Zhan, F. We address the endogenous preference of HFTs for large and liquid stocks by including multiple controls for firm size and liquidity, implementing abnormal or change specification for the price impact tests, and performing pre-treatment placebo tests for all of our analyses.Ībarbanell, J. The evidence suggests that HFTs help incorporate relevant industry information, and this effect arises from HFTs’ liquidity supplying function. Furthermore, HFT participation increases return synchronicity around earnings announcements when multiple firms in the same industry announce earnings on the same day. HFTs also enhance the forecasting capabilities of financial analysts. Employing a novel dataset that identifies trades by HFTs and non-HFTs, we find that earnings response coefficients are larger and abnormal price impact of trades are lower when HFTs trade more following earnings announcements, suggesting that HFTs facilitate efficient assimilation of earnings news. Currently, little is known about their role in incorporating firm-specific fundamental information into prices. However, research suggests that HFTs also play beneficial roles in financial markets, including liquidity provision as voluntary market makers. Prompted by concerns that HFTs reap unfair advantages over other traders by using super-fast trading technologies, some regulatory proposals aim to curb HFTs’ ultra-low-latency activities. High frequency traders (HFTs) account for a significant fraction of the total market volume.
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