共查询到20条相似文献,搜索用时 15 毫秒
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Dennis Murray 《The Journal of Financial Research》1985,8(1):59-68
Currently, there is a limited amount of empirical evidence suggesting that stock splits are associated with a decline in trading liquidity. This evidence directly contrasts with managements' professed intentions for undertaking a split. The evidence to date, however, is of a short-run nature. This study reexamines the liquidity effects of stock splits and stock dividends by assessing both their short- and long-term effects on trading liquidity (i.e., proportional trading volume and percentage bid-ask spreads). The results suggest that stock dividends are associated with decreased proportional trading volume in both the short term and long term, but stock splits are not. The results also indicate that neither stock splits nor stock dividends have an effect on percentage bid-ask spreads. 相似文献
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Trevor W. Chamberlain C. Sherman Cheung Clarence C.Y. Kwan 《Journal of Business Finance & Accounting》1993,20(5):687-698
This study examines the price behaviour, trading volume and liquidity of stocks in the Canadian market at the time of options listing. Unlike some studies examining similar effects in the United States, the present one finds no evidence to indicate that either daily return volatility or trading volume is affected by the listing. Similarly, liquidity, as measured by the bid-ask spread, is unaffected. At the same time, cross-sectional tests indicate an inverse relationship between before-to-after trading volume and the before-to-after bid-ask spread. 相似文献
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Two measures are used to estimate the liquidity of stocks that switch their places of trading (from OTC to NYSE, from OTC to AMEX, and from AMEX to NYSE). Using an event-type methodology, results are obtained that indicate a decline in liquidity for stocks leaving the OTC market. Stocks switching from the AMEX to the NYSE experience an initial increase in liquidity, followed by a decline almost to previous levels. 相似文献
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We examine the effect of rating revisions on sterling Eurobond yields using a panel model with conditional heteroskedasticity that controls for event‐induced changes in the variance of spreads. Positive rating revisions are fully anticipated by the time the upgrade occurs. Negative revisions are only partially anticipated, and spreads on downgraded bonds rise for some time after the downgrade has been announced. This asymmetry is not apparent in a conventional event study model. All ratings announcements are accompanied by a temporary fall in yield volatility. We attribute this to the resolution of uncertainty about the true rating of the bond. 相似文献
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Using announcement memos released by the National Bureau of Economic Research (NBER), we show that corporations increase liquidity during the quarter the NBER announces a peak in the business cycle. This reaction is primarily restricted to memos about peaks in the business cycle, whether it is a preliminary announcement or an official confirmation. Federal Open Market Committee and other monetary policy news, real‐time data releases, and tightening credit conditions do not drive the increase. This finding adds to the precautionary cash holdings literature by suggesting that corporations adjust liquidity not necessarily before recessions, but upon confirmation of a recession. 相似文献
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Miles Livingston 《The Journal of Finance》1977,32(5):1747-1751
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This paper offers an Investor Decision Framework (IDF) to describe and measure investor behavior toward social responsibility information. This framework seeks to explain how investors perceive the effects of social responsibility information on firm value. The formation in 1986 by 32 major defense contractors of the Defense Industries Initiative (DII) provides an ideal example to assess stock market reaction to an ethical initiative. The performance of the DII firms was compared with that of a control group of non-DII defense firms, which did not sign the agreement, in order to measure and determine the extent to which the market placed substance on the DII as a public commitment to ethics. We initially posited that the DII firms stock price would move in a significantly positive direction. However, when our analysis revealed a significant negative impact not only on DII, but also on non-DII defense stock prices, we were forced to reject thisa priorihypothesis. The market interpreted this ethical initiative as (i) a precursor of future sanctions towards firms engaged in defense contracting or (ii) as a penalty for social irresponsibility imposed by socially conscious investors. Either way, it would have a negative impact upon future cash flows. 相似文献
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James B. Wiggins 《The Journal of Financial Research》1994,17(2):217-229
In this paper I examine the behavior of bid and ask spreads and depths around announcements of open market stock repurchase programs. For a sample of 195 announcements from 1988 to 1990, I find statistically significant evidence of a small decline in spreads and no evidence of a shift in depths following the announcement date. Results are similar for a subsample of firms experiencing post-announcement declines in the number of shares outstanding. I conclude that open market repurchase programs as used recently do not adversely affect market liquidity. 相似文献
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Nobuyuki Isagawa Satoru Yamaguchi Tadayasu Yamashita 《The Journal of Financial Research》2010,33(3):267-287
We provide a simple model for analyzing how debt forgiveness affects the stock price of a lending bank. Our model shows that although debt forgiveness increases shareholder wealth of a bank in healthy financial condition, it decreases shareholder wealth of a bank in unhealthy financial condition. We empirically investigate the announcement effect of debt forgiveness on bank stock prices in Japanese markets. On average, lending banks experience a significant negative announcement effect with respect to debt forgiveness. Consistent with the prediction of the model, we find a negative relation between the announcement effect and the net bad loan ratio as a proxy of the unhealthiness of the financial condition of the bank. 相似文献
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Ronald C. Rogers 《The Financial Review》1988,23(1):65-80
This paper provides new evidence on the empirical anomalies known as the earnings/price (E/P) effect and the size effect in the pricing of common stock. Previous authors have arrived at contradictory conclusions regarding the existence and relative importance of the anomalies, and the intent of this paper is to help clarify the issues. An empirical method used in a previous study of these issues is replicated and applied to a new set of firms—those traded on the American Stock Exchange (AMEX). This approach assures comparability with previous results and provides a sample with different market value and E/P distributions. The results from the AMEX suggest that the size effect and the E/P effect both exist and that the size effect is predominant. These results persist even after accounting for the January effect. 相似文献
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INVESTOR RELATIONS, LIQUIDITY, AND STOCK PRICES 总被引:1,自引:0,他引:1
Although the first investor relations department was established by General Electric as long ago as 1952, the role of investor relations (IR) is one that has largely escaped scientific analysis and academic scrutiny. This article attempts to demonstrate the importance of a company's IR activities for its stock price by establishing a clear chain of causation between the following:
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corporate IR activities and the number of stock analysts who follow the firm;
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Kenneth A. Carow 《The Journal of Financial Research》1999,22(1):15-28
When entering a new security market, investment banks must establish their reputation. This is done through direct experience in the security market or through reputational capital established in existing security markets. I examine the effects of underwriters' market reputation in publicly underwritten offerings in forty-three financial innovations and find more significant entry barriers for less prestigious underwriters. An analysis of underwriting spreads reveals first-issue pricing advantages due to reputational capital. Unlike the more prestigious underwriters, the less prestigious underwriters reduce spreads upon first entry into each new security market to overcome their lack of market reputation. 相似文献
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In this study we examine the effect of dual trading through unlisted trading privileges (UTPs) on liquidity and stock returns. Stocks with UTPs trade in a different market structure than stocks listed and traded only on the AMEX and NYSE. Differences in market structure may affect stock returns through liquidity services provided by the competing markets. The sample comprises 852 AMEX and NYSE firms that began unlisted trading on the Philadelphia, Pacific, Midwest, or Cincinnati exchanges between 1984 and 1988. The results show significantly positive abnormal returns around the SEC's announcement of a regional exchange's filing for UTPs. The results also suggest that increased competition improves trading liquidity. Only stocks with low liquidity before UTPs announcements experience significantly improved liquidity and positive stock returns. 相似文献