Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/113176
Authors: 
Gelman, Sergey
Lushchikov, Roman
Year of Publication: 
2015
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Information, Risk, and Uncertainty in Finance B23-V2
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.
JEL: 
G14
G12
G30
Document Type: 
Conference Paper

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