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Asymmetric Post Earnings Announcement Drift and Order Flow Imbalance : The Impact on Stock Market Returns

Zhang, Sijia; Wu, He; Hua, Qiuling - 2023

We conduct an event study around the earning announcement to examine the asymmetric post earnings announcement drift, and its relationship with the bid-ask bias, order follow imbalance on post earnings announcement period for UK stock market from 2000-2021. The earning drift is significantly...

Persistent link: https://www.econbiz.de/10014353722

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The impact of order flow on event study returns : new evidence from zero-leverage firms

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Research on the application of Fama-French five-factor model in American stock market before and during the COVID-19 pandemic

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Asymmetric post earnings announcement drift and order flow imbalance : the impact on stock market returns

Zhang, Sijia; Gregoriou, Andros; Wu, He - In: International review of financial analysis 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014544070

The level effect and volatility effect of uncertainty shocks in China

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Measuring the multi-scale price transmission effects from crude oil to energy stocks : a cascaded view

Xi, Zenglei; Yu, Jinxiu; Sun, Qingru; Zhao, Wenqi; Wang, He - In: International review of financial analysis 90 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014470341