Ownership structure and stock market liquidity

an empirical analysis of stock and bond market liquidity

an empirical analysis of stock and bond market liquidity
... Goetzmann, W., and M Massa, 2002, Daily momentum and contrarian behavior of index fund investors, Journal of Financial and Quantitative Analysis 37, 375-389 Greenspan, A., 1999, Risk, liquidity, and ... News and Bond Prices: Evidence from U.S Treasury Market, forthcoming, Journal of Financial and Quantitative Analysis Ball, C., and T Chordia, 2001, True Spreads and Equilibrium Prices, Journal of ... stance of the Fed can a®ect liquidity by altering the terms of margin borrowing and alleviating borrowing constraints of dealers, and also consider the idea that fund °ows into stock and bond markets...
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chordia, sarkar and subrahmanyam -an empirical analysis of stock and bond market liquidity

chordia, sarkar and subrahmanyam -an empirical analysis of stock and bond market liquidity
... Chordia and Subrahmanyam (1995) for a simple model of how spread levels depend on inventory The direction of market movements could also trigger asymmetric e®ects on liquidity However, the market ... stock market tick size change from 1/8 to 1/16 was introduced on June 14, 1997, because this e®ect had an immediate and permanent impact on the stock market spread (see Chordia, Roll, and Subrahmanyam, ... weighted stock market return and the Lehman aggregate bond index return are signi¯cantly positively correlated with order °ow We have run our forecasting regressions with and without the market...
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Tài liệu Corporate Ownership structure and the Informativeness of Accounting Earnings in East Asia doc

Tài liệu Corporate Ownership structure and the Informativeness of Accounting Earnings in East Asia doc
... quality of accounting information in seven East Asian economies excluding Japan More specifically, we use the informativeness of accounting earnings to investors as a measure of the quality of accounting ... ownership structure and earnings informativeness in East Asia 3.3.1 Basic relations between returns and earnings Before we focus on the role of the ownership structure, we perform a set of ordinary least ... properties of accounting earnings: international evidence Journal of Accounting and Economics 29, 1-52 Ball, R., A Robin, and J Wu, 1999 Properties of accounting earnings in four East Asian countries...
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chordia, roll and subrahmanyam -market liquidity and trading activity

chordia, roll and subrahmanyam -market liquidity and trading activity
... of Market-wide Liquidity and Aggregate Trading Activity A Levels of Liquidity and Trading Activity Table I provides summary statistics of the basic market liquidity and trading activity measures ... strong evidence that liquidity and trading activity fall on Fridays • Tuesday tends to be accompanied by increased trading activity and increased liquidity • Depth and trading activity tend to decrease ... significantly affect liquidity as well as trading activity There are strong day-of-the-week regularities in liquidity and in trading activity Liquidity declines and trading activity slows on Fridays...
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ownership structure and earnings management in emerging markets

ownership structure and earnings management in emerging markets
... behavior in an emerging market This paper is examining an important issue among research topics in accounting and finance The importance behind examining the determinants of earnings management ... between ownership structure and earnings management practices among firms operating in an emerging market With globalalization of business and financial markets, there has been strong demand for ... with institutional investors monitoring and constraining the self-serving behavior of corporate managers Koh (2003) examines the association between institutional ownership and income increasing...
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international stock market liquidity

international stock market liquidity
... determinants of liquidity indicates that market- wide returns, market- wide averages of individual stock volatilities, and world net bond flows are fundamental drivers of market- wide liquidity There ... that changes in market valuations affect liquidity, and market- wide averages of individual stock volatilities and world net bond flows are further fundamental drivers of market- wide liquidity Beyond ... integration of financial markets and the large scale international portfolio flows, it is a natural question to investigate the existence, nature, and impact of market- wide liquidity in an international...
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prugsamatz - corporate governance effects on firm value and stock market performance in thailand -

prugsamatz - corporate governance effects on firm value and stock market performance in thailand -
... reform and act in accordance with international standards This study investigates the effects of firmlevel Corporate governance on Firm Value (Tobin’s Q as proxy), and Stock Market Performance (Total ... value and stock market performance for the period 200 6-2 009 The relationships, again either positive or negative, between each Corporate Governance sub-indices with firm value and stock market performance ... each Corporate Governance compliance sub-indices has in terms of influencing Firm Value and Stock Market Performance for the second period of the study, the correlation results provide further insights...
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Standstill agreements and market response based on ownership structure of rget firms

Standstill agreements and market response based on ownership structure of rget firms
... Reproduced with permission of the copyright owner Further reproduction prohibited without permission STANDSTILL AGREEMENTS AND MARKET RESPONSE BASED ON OWNERSHIP STRUCTURE OF TARGET FIRMS by Farooq ... Reproduced with permission of the copyright owner Further reproduction prohibited without permission STANDSTILL AGREEMENTS AND MARKET RESPONSE BASED ON OWNERSHIP STRUCTURE OF TARGET FIRMS by Farooq ... coefficient based upon the discussion in Section 14 14Dummy variables representing existence of poison-pills, resolution of lawsuits with standstill agreements and continuous variables representing ownership...
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Relationship between stock return and trading volume in vietnam's stock market

Relationship between stock return and trading volume in vietnam's stock market
... any long run relationship between the trading volume and stock return in Vietnam?  Does the causal relationship between stock return and trading volume exist in Vietnam‟s stock market? If yes ... thesis investigated the relationship between return and trading volume in the Vietnam’s stock market in the context of Granger causality test and GARCH model test The sample, including two market indices ... positive relationship between trading volume and price volatility, and negative relationship between price volatility and lagged trading volume Applying the model of Bessembinder and Seguin (1993),...
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the stock market, the theory of rational expectations, and the efficient markets hypothesis

the stock market, the theory of rational expectations, and the efficient markets  hypothesis
... Pt + C Pt R = the rate of return on the security Pt+1 = price of the security at time t+1, the end of the holding period Pt = price of the security at time t, the beginning of the holding period ... Rationale Behind the Theory Rof > R* ⇒ Pt ↑ ⇒ Rof ↓ Rof < R* ⇒ Pt ↓ ⇒ Rof ↑ until Rof = R* In an efficient market all unexploited profit opportunities will be eliminated Stronger Version of the ... investment in equity P1 = the sale price of the stock at the end of the first period Generalized Dividend Valuation Model The value of stock today is the present value of all future cash flows...
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What makes a bank efficient? – A look at financial characteristics and bank management and ownership structure pdf

What makes a bank efficient? – A look at financial characteristics and bank management and ownership structure pdf
... intensive than those undertaken at inefficient banks Ownership and management characteristics A review of the financial characteristics of efficient and inefficient banks suggests that bank managers, ... State bank examination reports also commonly contain an examiner’s narrative discussion of the management of the bank and the individuals who dominate policymaking and oversee the daily operations ... Data Collected on the Sample Banks The information on the ownership and management of the sample banks was collected from state agency, FDIC, and Federal Reserve examination reports on state banks...
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GRA 19002 Master Thesis: Governance Mechanisms and Ownership Structure potx

GRA 19002 Master Thesis: Governance Mechanisms and Ownership Structure potx
... Governance mechanisms and Ownership structure A study of Norwegian banks Abstract This paper work is written as a master thesis being a part of our Master of Science program in Business and ... governance mechanisms in banks with different ownership structures We will focus on internal mechanisms such as CEO dismissal and board turnover, and the external mechanisms such as mergers and ... performance for each of the ownership types (commercial banks, 14 Governance mechanisms and Ownership structure A study of Norwegian banks savings banks and PCC banks) and some control variable...
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