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Stock liquidity in forefront of anticipated announcements

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  • Gelman, Sergey
  • Lushchikov, Roman

Abstract

The paper studies the effects of anticipated earnings announcements on liquidity before the earnings announcement day, utilizing full limit order book data. We find very convincing supportive evidence of deteriorating liquidity due to the increase in information asymmetry, which is in line with existing literature. We contribute to the literature showing that supply and demand elasticities, and hence overall market depth, are much stronger adversely affected, as best bid and best ask quotes would suggest.

Suggested Citation

  • Gelman, Sergey & Lushchikov, Roman, 2015. "Stock liquidity in forefront of anticipated announcements," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113176, Verein für Socialpolitik / German Economic Association.
    • Handle: RePEc:zbw:vfsc15:113176
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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