DYNAMIC RETURN-ORDER IMBALANCE RELATIONSHIP RESPONSE TO LEVERAGED BUYOUT ANNOUNCEMENTS

Han-Ching Huang, Yong-Chern Su and Yao-Hsuan Chang

Global Journal of Business Research, 2014, vol. 8, issue 2, 55-63

Abstract: Many researches indicate informed trading during Leveraged buy-out (LBO) processes. In this study, we examine intraday dynamic relations between order imbalance, volatility and stock returns. The dynamic relation between volatility and order imbalances by a time-varying GARCH model is insignificant, suggesting that market makers have a good ability to mitigate volatility of LBO firms on event dates. Our imbalance-based trading strategy earns a positive profit but cannot beat a buy-and-hold return.

Keywords: Leveraged-buyout; Order Imbalance; Return; Volatility (search for similar items in EconPapers)
JEL-codes: G14 G34 (search for similar items in EconPapers)
Date: 2014
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