Corporate Break-Ups and Information Asymmetry: A Market Microstructure Perspective

2010 ◽  
Author(s):  
Florian Bardong ◽  
Söhnke M. Bartram ◽  
Pradeep K. Yadav
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure

Corporate Break-ups and Information Asymmetry: A Market-Microstructure Analysis

2007 ◽  
Author(s):  
Florian Bardong ◽  
Söhnke M. Bartram ◽  
Pradeep K. Yadav
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Microstructure Analysis

scholarly journals The Effect of Corporate Break-Ups on Information Asymmetry: A Market Microstructure Analysis

2008 ◽  
Author(s):  
Söhnke M. Bartram ◽  
Florian Bardong ◽  
Pradeep K. Yadav
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Microstructure Analysis

scholarly journals Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds

2020 ◽  
Vol 13 (6) ◽  
pp. 118
Author(s):  
Doureige Jurdi
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Price Discovery ◽  
Exchange Traded Funds ◽  
Trading Costs ◽  
Microstructure Noise ◽  
Trading Activity ◽  
Macroeconomic News ◽  
Jump Detection ◽  
The Impact

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in jump detection tests and applies non-parametric intraday jump detection tests. The results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that intraday jump realizations affect the price discovery of ETFs.

scholarly journals Capital Market Frictions, Leasing and Hedging

2020 ◽  
Vol 3 (2) ◽  
pp. p45
Author(s):  
Vasantha Rao Chigurupati
Keyword(s):  
Information Asymmetry ◽  
Empirical Evidence ◽  
Market Microstructure ◽  
Capital Market ◽  
Financial Derivatives ◽  
Market Frictions ◽  
Estimation Techniques ◽  
Financial Firms ◽  
Theoretical Predictions ◽  
Key Variables

This paper examines the hitherto unexplored effect of lease intensity on hedging. Using a sample of 218 small and large non-financial firms drawn from 2006 to 2010, we find that firms leasing more of their Property, Plant and Equipment (PPE) use less financial derivatives, consistent with the theoretical predictions of Rampini and Viswanathan (2010). Further, using broad market microstructure based measures of information asymmetry, we offer empirical evidence consistent with theory that firms with higher information asymmetry hedge more. These results are robust to several alternative measurements of key variables, different regression specifications, estimation techniques and corrections for endogeneity.

scholarly journals An Empirical Study on Listed Company’s Value of Cash Holdings: An Information Asymmetry Perspective

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Chuangxia Huang ◽  
Xin Ma ◽  
Qiujun Lan
Keyword(s):  
Principal Component Analysis ◽  
Asymmetric Information ◽  
Empirical Study ◽  
Corporate Finance ◽  
Information Asymmetry ◽  
Market Microstructure ◽  
Cash Holdings ◽  
Principal Component ◽  
Value Of Cash ◽  
The Relationship

The value of a company’s cash holdings is currently a hot issue in corporate finance research. Current studies have not reached a unified conclusion. Moreover, no one has ever studied that from the perspective of information asymmetry. However, there still exist disputes about the measurement of the degree of information asymmetry. Previous studies mostly adopt single index to analysis this issue, and the economic meaning it represents only reflects some information of asymmetric information, so it was one-sided and the conclusion also differ. Drawing on the market microstructure and the index of information asymmetry of managers and investors, this paper constructs a new proxy for information asymmetry based on the principal component analysis. We find that a company’s value of cash holdings decreases increasingly with its level of information asymmetry, and the relationship between information asymmetry and the value of cash holdings is nonlinear.

A Comparison of China's Main Board and Growth Enterprise Market Board — Market Microstructure Approach

2014 ◽  
Vol 17 (02) ◽  
pp. 1450007 ◽  
Author(s):  
William Cheung ◽  
Kejing Liu
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Market Quality ◽  
Cost Component ◽  
Bid Ask Spread ◽  
Growth Enterprise Market ◽  
Level Data ◽  
Pricing Error ◽  
Trading Activities

We compare the market quality of the newly established, second board of the China stock market, the Growth Enterprise Market (GEM) with the Main Board, and examine its impact on the Main Board from the market microstructure perspective. Using the newly available transaction level data, several findings emerge. First, trading activities of the Main Board stocks increase after the introduction of GEM Board, suggesting that the establishment of GEM is not at the expense of the Main Board but instead enhance the overall trading activities in China. Pricing error variances are not different in the two Boards, while GEM stocks have larger adverse selection cost component of bid-ask spread and higher probability of information-based trading which indicate a larger information asymmetry among traders, on average in GEM stocks than those in the Main Board. Interestingly, we find that the 15 min returns of Main Board stocks strongly lead that of GEM stocks but the GEM board only weakly leads Main Board, evidencing information transmission from the Main Board to the GEM. Overall, our findings suggest that the market quality of the GEM is sufficiently good to provide an important, alternative listing venue for high potential firms in China.

scholarly journals Does Information Asymmetry Affect Dividend Policy? Analysis Using Market Microstructure Variables

2021 ◽  
Vol 13 (7) ◽  
pp. 3627
Author(s):  
Seonhyeon Kim ◽  
Jin-young Jung ◽  
Sung-woo Cho
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Dividend Policy ◽  
Emerging Market ◽  
Negative Relationship ◽  
Order Theory ◽  
Pecking Order ◽  
Pecking Order Theory ◽  
Stock Liquidity ◽  
The Relationship

This study analyzes the relationship between information asymmetry and dividend policy in an emerging market, Korea. We adopt several proxies for information asymmetry, such as the Glosten–Harris and Hasbrouk–Foster–Viswanathan models, drawn from market microstructure literature. This study finds a negative relationship between information asymmetry and dividend yields, which appears to be particularly strong when firms have difficulty raising external capital because they have high systematic risk, financial constraints, or low stock liquidity. This result, based on an analysis using market microstructure variables that provide direct measures of information asymmetry, suggests that the pecking order theory holds for the Korean stock market and that information asymmetry is a strong determinant of dividend policy decisions in an emerging market.

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