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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

The business cycle and profitability of trading strategies

Yan, Yuxing; Zhang, Shaojun - In: Frontiers of business research in China : selected … 10 (2016) 4, pp. 525-547

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Cryptocurrencies in portfolios : return-liquidity trade-off around China forbidding initial coin offerings

Zhang, Sijia; Gregoriou, Andros - In: Applied economics letters 28 (2021) 12, pp. 1036-1040

Persistent link: https://www.econbiz.de/10012589737

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

Zhang, Sijia; Gregoriou, Andros - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 627-634

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Stock liquidity and return distribution : evidence from the London Stock Exchange

Wang, Andong; Hudson, Robert; Rhodes, Mark J.; Zhang, Sijia - In: Finance research letters 39 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012804976

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

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Out-of-sample equity premium predictability : an EMD-denoising based model

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The impact of sovereign rating changes and financial contagion on stock market returns : evidence from five Asian countries

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Herding behavior in institutional investors: evidence from China's stock market

Zheng, Dazhi; Li, Huimin; Zhu, Xiaowei - In: Journal of multinational financial management 32/33 (2015), pp. 59-76

Persistent link: https://www.econbiz.de/10011540110