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Communicating Private Information to the Equity Market before a Dividend Cut : An Empirical Analysis

Chemmanur, Thomas J. - 2017

-prepared dividend cutters and test the implications of two alternative theories: the “signaling through market preparation” theory and … the “stock return volatility reduction” theory. We document several important differences between prepared and non …-prepared dividend cutters. Overall, our empirical results are consistent with the signaling theory …

Persistent link: https://www.econbiz.de/10012974544

Word-of-Mouth Communication, Noise-Driven Volatility, and Public Disclosure

Xue, Hao - 2020

This paper examines how a firm adjusts its disclosure quality in response to technological innovations that improve investors' private information. We show that more precise private information can endogenously amplify supply shocks and, hence, increase noise-driven (or non-fundamental) price...

Persistent link: https://www.econbiz.de/10012850694

Heterogeneous Beliefs and Return Volatility Around Seasoned Equity Offerings

Hibbert, Ann Marie - 2020

We investigate the dynamics of heterogeneous beliefs and link them to the volatility pattern throughout the seasoned equity offering (SEO) event window. In sync with a reduction in information asymmetry related to management information releases around the SEO event, belief heterogeneity...

Persistent link: https://www.econbiz.de/10012854611

Fundamental and Information Uncertainties, Business Cycle, and Idiosyncratic Stock Volatility

Habib, Ahsan - 2015

This paper examines empirically the effect of business cycle on fundamental and information uncertainties and whether this relationship accentuates or attenuates idiosyncratic stock volatility. Fundamental uncertainty refers to the uncertainty about firms' future cash flows and earnings, while...

Persistent link: https://www.econbiz.de/10013024285

Liquidity Squeeze, Abundant Funding and Macroeconomic Volatility

Kharroubi, Enisse - 2015

This paper studies the choice between building liquidity buffers and raising funding ex post, to deal with liquidity shocks. We uncover the possibility of an inefficient liquidity squeeze equilibrium. Agents typically choose to build smaller liquidity buffers when they expect cheap funding....

Persistent link: https://www.econbiz.de/10013025599

Does Volatility Enable Organizations to Increase their Rank? Evidence from the Private Equity Market

Assenova, Valentina - 2022

Does performance volatility enable organizations to increase their rank relative to their rivals? While prior research has argued that rankings are derived from organizations’ realized (past) performance, under quality uncertainty, volatility could also confer advantages for increasing rank....

Persistent link: https://www.econbiz.de/10013291368

What Drives Intraday Reversal? Illiquidity or Liquidity Oversupply?

Kang, Junqing; Lin, Shen; Xiong, Xiong - 2021

What drives intraday reversal? Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a stylized...

Persistent link: https://www.econbiz.de/10013244826

Pricing Electricity Forwards under Future Information on the Stochastic Mean-Reversion Level

Hess, Markus - 2020

We extend the arithmetic multi-factor electricity spot price model proposed by Benth, Kallsen & Meyer-Brandis by adding stochastic mean-level processes to their model and by taking additional information on the future behavior of these mean-level processes into account. The available...

Persistent link: https://www.econbiz.de/10012848664

Endogenous Liquidity and Volatility

Rocheteau, Guillaume; Wang, Lu - 2022

Is asset liquidity a source of price volatility? We answer this question within a continuous-time, New Monetarist economy under extrinsic uncertainty and endogenous asset liquidity. We consider single or multiple assets, risk-free or risky assets, assets that have a positive intrinsic value, no...

Persistent link: https://www.econbiz.de/10014239423

Periodic Information Asymmetry and Intraday Market Behaviour : An Empirical Analysis

Scalia, Antonio - 2011

The model of Foster-Viswanathan (1990, FV) predicts that information heterogeneity among market participants generates patterns in volume, trading costs and volatility. In the Italian Treasury bond market, periodic information asymmetry is related to the arrival of block orders from...

Persistent link: https://www.econbiz.de/10013127567