關鍵字查詢 | 類別:研究報告 | | 關鍵字:盈餘宣告期間訊息交易對市場效率與市場品質之影響

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序號 學年期 教師動態
1 100/1 財金系 段昌文 副教授 研究報告 發佈 盈餘宣告期間訊息交易對市場效率與市場品質之影響 , [100-1] :盈餘宣告期間訊息交易對市場效率與市場品質之影響研究報告盈餘宣告期間訊息交易對市場效率與市場品質之影響The Effect of Informed Trading on Market Market Efficiency and Market Quality around Earnings Announcements段昌文淡江大學財務金融學系adverse-selection component; corporate governance; difference-in-difference; earnings announcement; informed trading; short seller; speed of information adjustment; volatility decomposition計畫編號:NSC100-2410-H032-020
 研究期間:20110801~20120731
 研究經費:198,000行政院國家科學委員會The project mainly focuses on the effect of the informed trading on market efficiency and market quality around earnings announcements. In the estimated proxies for market quality, I decompose the spread into its order-processing and adverse-selection components as proxies for spread. Specially, I employ proxies for the informed trading come from supply-, demand-, cost-side and abnormal volume of short sales. Moreover, I develop a new measure for the speed of the information adjustment. To measure the speed which new information is impounded in volatil
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