Post earnings announcement drift, liquidity and zero leverage firms: Evidence from the UK stock market

被引：8

作者：

Zhang, Sijia ^{[1
]}

Gregoriou, Andros ^{[1
]}

机构：

[1] Univ Brighton, Brighton Business Sch, Mithras House,Lewes Rd, Brighton BA2 4NT, E Sussex, England

来源：

JOURNAL OF BUSINESS RESEARCH | 2020年 / 116卷

关键词：

Post Earnings Announcement Drift; Zero-leverage firms; Liquidity; Amihud Ratio; Spread Decomposition; RETURNS; COMPONENTS; ILLIQUIDITY; UNCERTAINTY; EFFICIENCY; ANOMALIES; RISK; NEWS;

D O I：

10.1016/j.jbusres.2020.05.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the empirical relationship between liquidity costs and Post Earnings Announcement Drift, using a sample of 93 zero-leverage firms listed on the FTSE 350 index over the time period 2000-2015. We discover that illiquidity levels are significantly enhanced around both the earnings and post announcement period, in both the short and long run. Once we decompose the bid-ask spread components during the earnings announcements, we observe that the adverse selection costs are significantly increased, whereas the inventory holding and order processing costs remain unchanged. We conclude that Post Earnings Announcement Drift is related with information asymmetry for zero-leverage firms.

引用

页码：13 / 26

页数：14

共 54 条

[1] TRADING MECHANISMS AND THE COMPONENTS OF THE BID-ASK SPREAD [J].