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

Sijia Zhang and Andros Gregoriou

The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 627-634

Abstract: We empirically examine the initial loan announcement period of 96 zero-leverage firms listed on the FTSE 350 index. Our research demonstrates that there is a clear tendency that trades are executed at the ask price during the initial loan announcement period, which are regarded as favorable firm-level news. Similar results are observed for subsamples formed on the basis of trade size. Order flow disruption causes a bias in the calculation of returns around the company event announcement.

Keywords: Order flow ratio; Liquidity; Bid-ask spread; Bid-ask bounce (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:627-634

DOI: 10.1016/j.qref.2021.04.014

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