Stock liquidity in forefront of anticipated announcements

Sergey Gelman and Roman Lushchikov

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: The paper studies the effects of anticipated earnings announcements on liquidity before the earnings announcement day, utilizing full limit order book data. We find very convincing supportive evidence of deteriorating liquidity due to the increase in information asymmetry, which is in line with existing literature. We contribute to the literature showing that supply and demand elasticities, and hence overall market depth, are much stronger adversely affected, as best bid and best ask quotes would suggest.

JEL-codes: G12 G14 G30 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-fmk and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc15:113176

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