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Title: Price and volume reactions around firms' announcements with information asymmetry
Author: Zheng, Liyi
ISNI:       0000 0004 5914 640X
Awarding Body: University of Bristol
Current Institution: University of Bristol
Date of Award: 2015
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Concerns about violations of market efficiency and the presence of selectively informed trading are widely raised. This thesis consists of three related studies, which looks at price reactions and trading behaviour around corporate announcements with respect to market inefficiency and information asymmetry. The first study investigates the issue of long-term price anomalies following public warning announcements and how the introduction of Regulation Fair Disclosure (Reg FD) has affected such price anomalies. The result provides evidence in favour of the success of Reg FD in reducing price anomalies and improving market efficiency. The second study explores the details of market mechanisms in trading behaviour by examining whether different types of corporate announcements affect trading activities. I find that trading volume decreases before expected announcements, which is consistent with models that predict that liquidity traders might postpone their trading plans until after an anticipated news release. I also find that trading volume is boosted before unexpected announcements, which suggests that there is a certain level of informed trading that is taking advantage of information asymmetry in the pre-event period. The third study further tests for informed trading due to selective disclosures before corporate announcements. The result provides evidence that suggests that such trade occurred on a significant scale before the introduction of Reg FD and that this regulation has succeeded in significantly reducing, but not eliminating, selectively informed trades
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available