IDEAS home Printed from https://ideas.repec.org/a/eee/jfinin/v16y2007i1p117-149.html
   My bibliography  Save this article

Earnings announcements, private information, and strategic informed trading

Author

Listed:
  • Cho, Jin-Wan

Abstract

No abstract is available for this item.

Suggested Citation

  • Cho, Jin-Wan, 2007. "Earnings announcements, private information, and strategic informed trading," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 117-149, January.
    • Handle: RePEc:eee:jfinin:v:16:y:2007:i:1:p:117-149
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042-9573(06)00047-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Joon Chae, 2005. "Trading Volume, Information Asymmetry, and Timing Information," Journal of Finance, American Finance Association, vol. 60(1), pages 413-442, February.
    2. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
    3. Seppi, Duane J, 1992. "Block Trading and Information Revelation around Quarterly Earnings Announcements," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 281-305.
    4. Venkatesh, P C & Chiang, R, 1986. "Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements," Journal of Finance, American Finance Association, vol. 41(5), pages 1089-1102, December.
    5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    6. Holden, Craig W & Subrahmanyam, Avanidhar, 1992. "Long-Lived Private Information and Imperfect Competition," Journal of Finance, American Finance Association, vol. 47(1), pages 247-270, March.
    7. Kerry Back & C. Henry Cao & Gregory A. Willard, 2000. "Imperfect Competition among Informed Traders," Journal of Finance, American Finance Association, vol. 55(5), pages 2117-2155, October.
    8. Easley, David, et al, 1996. "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-1436, September.
    9. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    10. Cho, Jin-Wan & Krishnan, Murugappa, 2000. "Prices as Aggregators of Private Information: Evidence from S&P 500 Futures Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(1), pages 111-126, March.
    11. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 805-835.
    12. Foster, F Douglas & Viswanathan, S, 1993. "The Effect of Public Information and Competition on Trading Volume and Price Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 23-56.
    13. 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.
    14. Foster, F Douglas & Viswanathan, S, 1996. "Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, vol. 51(4), pages 1437-1478, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alexander, Gordon J. & Peterson, Mark A. & Beardsley, Xiaoxin Wang, 2014. "The puzzling behavior of short sellers around earnings announcements," Journal of Financial Intermediation, Elsevier, vol. 23(2), pages 255-278.
    2. Sastry, Ravi & Thompson, Rex, 2019. "Strategic trading with risk aversion and information flow," Journal of Financial Markets, Elsevier, vol. 44(C), pages 1-16.
    3. Boco, Hervé & Germain, Laurent & Rousseau, Fabrice, 2016. "Heterogeneous noisy beliefs and dynamic competition in financial markets," Economic Modelling, Elsevier, vol. 54(C), pages 347-363.
    4. Fabrice Rousseau & Hervé Boco & Laurent Germain, 2015. "Heterogeneous Beliefs and Imperfect Competition in Sequential Auction Markets," Economics Department Working Paper Series n258-15.pdf, Department of Economics, National University of Ireland - Maynooth.
    5. Louhichi, Waël, 2011. "What drives the volume-volatility relationship on Euronext Paris?," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 200-206, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
    2. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
    3. repec:zbw:bofrdp:2018_001 is not listed on IDEAS
    4. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1/2018, Bank of Finland.
    5. repec:zbw:bofrdp:001 is not listed on IDEAS
    6. Paolo Colla & Antonio Mele, 2010. "Information Linkages and Correlated Trading," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 203-246, January.
    7. Bernhardt, Dan & Hughson, Eric, 2002. "Intraday trade in dealership markets," European Economic Review, Elsevier, vol. 46(9), pages 1697-1732, October.
    8. repec:uts:finphd:34 is not listed on IDEAS
    9. Dean Katselas & Baljit K. Sidhu & Chuan Yu, 2021. "Liquidity and information asymmetry around unscheduled mining announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3053-3087, June.
    10. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    11. Sastry, Ravi & Thompson, Rex, 2019. "Strategic trading with risk aversion and information flow," Journal of Financial Markets, Elsevier, vol. 44(C), pages 1-16.
    12. Berkman, Henk & Koch, Paul D., 2008. "Noise trading and the price formation process," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 232-250, March.
    13. Jos Van Bommel & Jay Dahya & Zhihong Shi, 2010. "An empirical investigation of the speed of information aggregation: a study of IPOs," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(1), pages 47-79.
    14. Pascual, Roberto, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de Economía.
    15. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
    16. Haghighi, Afshin & Zhang, Lei & Oliver, Barry & Faff, Robert, 2023. "Information acquisition and market liquidity: Evidence from EDGAR search activity," Global Finance Journal, Elsevier, vol. 57(C).
    17. Chung, Kee H. & Li, Mingsheng & McInish, Thomas H., 2005. "Information-based trading, price impact of trades, and trade autocorrelation," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1645-1669, July.
    18. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
    19. Baruch, Shmuel & Panayides, Marios & Venkataraman, Kumar, 2017. "Informed trading and price discovery before corporate events," Journal of Financial Economics, Elsevier, vol. 125(3), pages 561-588.
    20. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    21. Boco, Hervé & Germain, Laurent & Rousseau, Fabrice, 2016. "Heterogeneous noisy beliefs and dynamic competition in financial markets," Economic Modelling, Elsevier, vol. 54(C), pages 347-363.
    22. Chiu, Yen-Chen, 2020. "Macroeconomic uncertainty, information competition, and liquidity," Finance Research Letters, Elsevier, vol. 34(C).
    23. Robert Bushman & Sunil Dutta & John Hughes & Raffi Indjejikian, 1997. "Earnings Announcements and Market Depth," Contemporary Accounting Research, John Wiley & Sons, vol. 14(1), pages 43-68, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinin:v:16:y:2007:i:1:p:117-149. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622875 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.