An empirical examination of information, differences of opinion, and trading activity

Bessembinder, Hendrik; Chan, Kalok; Seguin, Paul J.

doi:10.1016/0304-405x(95)00839-7

Cited by 272 publications

(185 citation statements)

References 33 publications

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“…Empirical evidence of whether firm size is associated with share turnover is mixed. Some studies find a negative association of firm size and share turnover (e.g., Tkac 1999); some a positive (e.g., Bessembinder, Chan, andSeguin 1996, Leuz andVerrecchia 2000). The positive relation between price volatility and share turnover is well documented in the empirical literature (see the review of Bessembinder and Seguin 1993).…”

Section: Trading Activitymentioning

confidence: 95%

Capital Market Implications of Corporate Disclosure: German Evidence

Grüning

2011

Bus Res

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This paper investigates the relationship between annual report disclosure, market liquidity, and capital cost for firms registered on the Deutsche Börse. Disclosure is comprehensively measured using the innovative Artificial Intelligence Measurement of Disclosure (AIMD). Results show that annual report disclosure enhances market liquidity by changing investors’ expectations and inducing portfolio adjustments. Trading frictions are negatively associated with disclosure. The study provides evidence for a capital-cost-reduction effect of disclosure based on the analysis of investors’ return requirements and market values. Altogether, no evidence is found that the information processing at the German capital market is structurally different from other markets.

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Section: Trading Activitymentioning

confidence: 95%

Capital Market Implications of Corporate Disclosure: German Evidence

Grüning

2011

Bus Res

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“…To provide descriptive evidence on the importance of market-wide uncertainty, Figure aggregate firm-specific volatility -the extent to which firm-specific information flows cause stock prices to move in different directions, or change by different magnitudes, within the month (see, e.g., Bessembinder, Chan, and Seguin (1996) and Stivers (2003)). In this sense, the cross-sectional volatility measures reflect 'market-wide' firm-specific information flows: months with greater amounts of firmspecific news are characterized by greater cross-sectional return dispersion, while months in which most of the news that moves stock prices is related to systematic factors affecting all firms are characterized by lower cross-sectional return dispersion.…”

Section: The Relation Between the Dispersion Of Ipo Initial Returns Amentioning

confidence: 99%

The Variability of IPO Initial Returns

Lowry¹,

Officer²,

Schwert³

2006

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The monthly volatility of IPO initial returns is substantial, fluctuates dramatically over time, and is considerably larger during "hot" IPO markets. Consistent with IPO theory, the volatility of initial returns is higher among firms whose value is more difficult to estimate, i.e., among firms with higher information asymmetry. Our findings highlight underwriters' difficulty in valuing companies characterized by high uncertainty, and, as a result, raise serious questions about the efficacy of the traditional firm commitment underwritten IPO process. One implication of our results is that alternate mechanisms, such as auctions, may be beneficial, particularly for firms that value price discovery over the auxiliary services provided by underwriters.

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“…4 Bessembinder et al (1996) and Harris and Raviv (1993) labeled this phenomenon differences of opinion, whereas Bamber, Barron, and Stober (1999) pointed to differential interpretation of information as a cause of both volume and volatility. Along the same lines, Verrecchia (1981) and Holthausen and Verrecchia (1990) emphasized the degree of consensus regarding new information.…”

mentioning

confidence: 95%

Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract

Kawaller¹,

Koch

Peterson

2001

Journal of Futures Markets

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microstructure of the futures exchange rather than new information or underlying volatility conditions. The event thus offers us an opportunity to examine how volatility responds to noninformation-based exogenous changes in volume. This study examines the volatility behavior of nearby and next out S&P 500 futures contracts on the 10 days surrounding quarterly redesignation of the lead contract. Our model measures possible changes in (a) the level of volatility and/or (b) the association between volume and volatility after redesignation of the lead contract. Results indicate that when we account for the association between volume and volatility, the higher volume lead contract consistently experiences a lower level of volatility. This outcome supports the view that the larger population of liquidity providers who trade the more active lead contract fosters greater market depth and lower volatility.

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An empirical examination of information, differences of opinion, and trading activity

Cited by 272 publications

References 33 publications

Capital Market Implications of Corporate Disclosure: German Evidence

Capital Market Implications of Corporate Disclosure: German Evidence

The Variability of IPO Initial Returns

Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract

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