Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing

This study examines whether rates of information flow differbetween trading and nontrading periods, and whether the variancesof pricing errors differ at the open and close of trading. Theapproach improves on existing methods by allowing for correlationbetween pricing errors and information flow, and by conductinginferences at the individual security level. The daytime rateof information flow is about seven times the overnight rate,and the variances of pricing errors at the open are not differentfrom those at the close of trading. This evidence differs fromexisting results based on return variance ratios.     

A microstructure examination of trading activity following stock splits

In a study of 1,131 stock splits spanning the period 1983–1989 we observe an increase in the number of trades as well as a reduction in the mean trade size following the split. Combined with earlier reported findings of an increase in the number of shareholders postsplit, we conclude that the number of liquidity traders increases after a split. We confirm the previously observed increase in the bid-ask spread following a split, and upon decomposition of the spread find an increase in its adverse selection component in the postsplit period. This is consistent with the finding by Brennan and Hughes (1991) of an increase in the number of analysts following a stock after a split. Further, observing a decrease in market depth following a split we determine that Kyle-type models incorporating diverse private information for informed traders most correctly describe the nature of security trading. Since this decrease in postsplit market depth is not related to the trading volume or the split factor, we reject price correction explanations for stock splits.     

喹诺酮类抗生素联合前列舒通胶囊对慢性细菌性前列腺炎患者的疗效及对免疫炎症指标的影响

目的探讨喹诺酮类抗生素联合前列舒通胶囊对慢性细菌性前列腺炎患者的疗效及对免疫炎症指标的影响。方法选取2020年3—6月在中一东北国际医院有限公司接受治疗的92例CBP患者作为研究对象,按随机数字表法分为观察组与对照组,各46例。对照组给予喹诺酮类药物治疗,观察组在对照组治疗基础上另服用前列舒通胶囊。比较两组疗效,治疗前及治疗2个月后的免疫指标(CD3+、CD4+、CD8+),以及炎症介质[超敏C-反应蛋白(hs-CRP)、肿瘤坏死因子-α(TNF-α)及白细胞介素-6(IL-6)]。结果观察组治疗有效率是97.83,明显高于对照组的82.61%(P<0.05)。治疗后两组CD3+、CD4+及CD8+水平明显高于治疗前,且观察组明显高于对照组,差异有统计学意义(P<0.05)。治疗后,两组hs-CRP、TNF-α及IL-6水平明显低于治疗前,且观察组低于对照组,差异有统计学意义(P<0.05)。结论喹诺酮类抗生素联合前列舒通胶囊对CBP患者的疗效较好,还可优化机体的免疫炎症指标。     

Bootstrap refinements in tests of microstructure frictions

Bootstrapping is often used as a substitute for asymptotic distributions when the latter are not available. Recent developments in the theory of the bootstrap show that combining the bootstrap with a known asymptotic distribution yields inferences that improve on those drawn from asymptotic distribution theory or bootstrapping alone. We review the key to obtaining the improvement and compare asymptotic and bootstrap inferences of three variance ratio tests used in microstructure research. The more precise bootstrap inferences lead to conclusions that differ from those found in extant research on transitory volatility. Asymptotic tests are biased toward rejection, and bootstrap and asymptotic critical values are not generally close to each other. These findings suggest that the more precise bootstrap inferences should be used in future applications of these tests, as well as in various other empirical applications where intradaily or other high frequency data are modeled using vector autoregressions     

A resolution of the distress risk and leverage puzzles in the cross section of stock returns

We revisit findings that returns are negatively related to financial distress intensity and leverage. These are puzzles under frictionless capital markets assumptions but are consistent with optimizing firms that differ in their exposure to financial distress costs. Firms with high costs choose low leverage to avoid distress, but they retain exposure to the systematic risk of bearing such costs in low states. Empirical results are consistent with this explanation. The return premiums to low leverage and low distress are significant in raw returns, and even stronger in risk-adjusted returns. When in distress, low-leverage firms suffer more than high-leverage firms as measured by a deterioration in accounting operating performance and heightened exposure to systematic risk. The connection between return premiums and distress costs is apparent in subperiod evidence. Both are small or insignificant prior to 1980 and larger and significant thereafter.     

Liquidity and stock returns in Japan: New evidence

The liquidity/stock returns linkage was studied using data from the First Section, the Second Section, and the Mothers Section of the Tokyo Stock Exchange (TSE). In our overall tests, we found a significantly negative (positive) relationship between liquidity (illiquidity) proxies and returns. Upon exploring this further for the impact of business cycles, we found that while the expansionary phases largely confirm the overall finding, contractionary phases do not. When we controlled for liquidity variability in the cross-sectional regressions, the role of the liquidity level showed strong significance across business cycles, different subperiods and all Sections of the TSE. With regard to liquidity variability, we observed a strongly significant and negative association with stock returns.     

Endogenous market statistics and security pricing:: An empirical investigation

This study examines empirically the degree to which the history of daytime and overnight price changes and order flow affects estimates of traders' beliefs about future security price changes. Estimates indicate that forecasts of the permanent component of price changes occurring after the open of trading are significantly related to past price changes and order flow; but the same is not generally true for price changes occurring after the close. These results are consistent with models of technical analysis, and models in which the process of trading facilitates price discovery. The evidence also suggests that private information is an important determinant of price movements.     

Voluntary disclosure and corporate innovation

Review of Quantitative Finance and Accounting - We examine whether a firm’s voluntary disclosures, proxied by management earnings forecasts, affect its innovation activity. A firm making more...