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An unobserved component panel data model to study the effect of earnings surprises on stock prices, trading volumes, and spreads

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  • Maddala, G. S.
  • Nimalendran, M.

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  • Maddala, G. S. & Nimalendran, M., 1995. "An unobserved component panel data model to study the effect of earnings surprises on stock prices, trading volumes, and spreads," Journal of Econometrics, Elsevier, vol. 68(1), pages 229-242, July.
    • Handle: RePEc:eee:econom:v:68:y:1995:i:1:p:229-242
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    1. repec:bla:jfinan:v:43:y:1988:i:2:p:467-91 is not listed on IDEAS
    2. Zellner, Arnold, 1970. "Estimation of Regression Relationships Containing Unobservable Independent Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(3), pages 441-454, October.
    3. Copeland, Thomas E & Galai, Dan, 1983. "Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 38(5), pages 1457-1469, December.
    4. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    5. Jennings, Robert H & Starks, Laura T & Fellingham, John C, 1981. "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 36(1), pages 143-161, March.
    6. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    7. Baltagi, Badi H & Griffin, James M, 1984. "Short and Long Run Effects in Pooled Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(3), pages 631-645, October.
    8. Goldberger, Arthur S, 1972. "Maximum-Likelihood Estimation of Regressions Containing Unobservable Independent Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(1), pages 1-15, February.
    9. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    10. Lee, Charles M. C., 1992. "Earnings news and small traders : An intraday analysis," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 265-302, August.
    11. Kross, W & Schroeder, Da, 1984. "An Empirical-Investigation Of The Effect Of Quarterly Earnings Announcement Timing On Stock Returns," Journal of Accounting Research, Wiley Blackwell, vol. 22(1), pages 153-176.
    12. Griliches, Zvi, 1974. "Errors in Variables and Other Unobservables," Econometrica, Econometric Society, vol. 42(6), pages 971-998, November.
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    Cited by:

    1. Gerhard, Frank & Hess, Dieter & Pohlmeier, Winfried, 1998. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," CoFE Discussion Papers 98/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, University Library of Munich, Germany.
    3. Jannatul Ferdaous & Senjuti Barua, 2020. "Firm-Specific Factors and Stock Returns: Evidence from Selected Private Commercial Banks Listed on the Dhaka Stock Exchange," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(11), pages 1259-1268, November.
    4. Porter, David C. & Thatcher, John G., 1998. "Fragmentation, competition, and limit orders: New evidence from interday spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 111-128.
    5. Senjuti Barua, 2020. "Firm Level Characteristics and Stock Returns: Evidence from Selected Insurance Companies Listed on the Dhaka Stock Exchange," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(12), pages 1356-1365, December.
    6. Chang, Chingfu & Lee, Alice C. & Lee, Cheng F., 2009. "Determinants of capital structure choice: A structural equation modeling approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 197-213, May.

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