Trading Halts and Price Informativeness
Crocker Herbert Liu,
Charles Trzcinka and
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Crocker Herbert Liu: Cornell University
Charles Trzcinka: Indiana University
Ziwei Zhao: University of Lausanne; Swiss Finance Institute
No 23-62, Swiss Finance Institute Research Paper Series from Swiss Finance Institute
Chinese firms can initiate trading halts. While many plausible reasons exist for halts to occur after a price decline: 42% of halts come after a 7-day price rise. We argue the only reason for halts after a price rise is to increase management information. We find that our measures of private information are negatively associated with the likelihood of a halt. However, halts increase the cost of capital by 121 basis points. We show that price non-synchronicity, institutional ownership, and accounting variables predict a trading halt and explain the positive CARs after a halt.
Keywords: trading; halts; fundamentals; noise traders; liquidity (search for similar items in EconPapers)
JEL-codes: E44 G12 G14 N20 O16 O53 (search for similar items in EconPapers)
Pages: 66 pages
New Economics Papers: this item is included in nep-ifn and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2362
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