Escape From The Market: Discretionary Liquidity Trading

DC Field Value Language
dc.contributor.authorChae, Joon-
dc.identifier.citationSeoul Journal of Business Volume 10(1):27~64(2004)en
dc.description.abstractUsing 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.
dc.publisherCollege of Business Administration (경영대학)en
dc.subjecttiming informationen
dc.subjectinformation asymmetryen
dc.subjecttrading volumeen
dc.titleEscape From The Market: Discretionary Liquidity Tradingen
dc.typeSNU Journalen
Appears in Collections:
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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