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Escape From The Market: Discretionary Liquidity Trading

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Authors
Chae, Joon
Issue Date
2004-06
Publisher
College of Business Administration (경영대학)
Citation
Seoul Journal of Business, Vol.10 No.1, pp. 27-64
Keywords
timing informationinformation asymmetrytrading volume
Abstract
Using two types of corporate events, a scheduled announcement and

an unscheduled announcement, I investigate the effect of information

asymmetry on trading volume. Only before a scheduled announcement,

such as an earnings announcement, can I observe decreasing trading

volume. I construct a simple theoretical model that suggests how ex

ante information asymmetry and discretionary liquidity trading could

cause the decreasing trading volume only before a scheduled

announcement. Finally, analyzing the relationship between this

decreasing trading volume and proxies of ex ante information

asymmetry, such as analyst coverage, size, and industry categorization,

I test and confirm an information asymmetry hypothesis about the

trading volume pattern before a scheduled announcement.
ISSN
1226-9816
Language
English
URI
http://hdl.handle.net/10371/1797
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Seoul Journal of BusinessSeoul Journal of Business Volume 10, Number 1/2 (2004)
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