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Escape From The Market: Discretionary Liquidity Trading
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- Authors
- Issue Date
- 2004-06
- Citation
- Seoul Journal of Business, Vol.10 No.1, pp. 27-64
- Keywords
- timing information ; information asymmetry ; trading 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
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