Under the microscope: Trade initiation activities around earnings and takeover announcements in a market with continuous disclosure

Author(s)
Mudalige, Priyantha
Kalev, Petko S
Publication Date
2024-12
Abstract
<p>We examine the impact of the release time of earnings and takeover announcements on trade initiation motives on the ASX — a market with continuous disclosure. This investigation uses intraday high-frequency data of the constituent stocks of the S&P/ASX50 index and measures market sidedness around the announcements to infer trade initiation motives. We find that during a continuous trading session: (i) in a two-sided market, investors initiate both buy and sell trades just before announcements are released during trading sessions, and (ii) in a one-sided market, investors execute either buy or sell trades just after the announcements. Our results suggest that differential information is the likely motive for trade initiation just before the release of announcements. Finally, our results suggest that announcements released during continuous trading sessions are more effective in controlling information leakage.</p>
Citation
Global Finance Journal, v.63
ISSN
1873-5665
1044-0283
Link
Publisher
Elsevier BV
Title
Under the microscope: Trade initiation activities around earnings and takeover announcements in a market with continuous disclosure
Type of document
Journal Article
Entity Type
Publication

Files:

NameSizeformatDescriptionLink