Behavior of liquidity and returns around Canadian seasoned equity offerings

Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market

“…We use percentage spread as the illiquidity variable, which is calculated as (Ask t À Bid t )/[(Ask t + Bid t )/2] Â 100; where Ask t (Bid t ) is the intraday ask (bid) price at time t (see Berkman and Nguyen, 2010;Kryzanowski et al, 2010). We then calculate the average of all the percentage spreads in one day.…”

Credit Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy

“…4 4 Iyer and Peydro (2010) point out the two major problems in testing contagion because of interbank linkages are the dearth of large bank failures and the lack of detailed data on interbank linkages. They overcome these hurdles by using the sudden failure of a cooperative bank in India and a unique dataset that identifies exposure to study interbank contagion. …”

Liquidity Spillover Effects of Equity Offerings Over Dual-Class Shares

“…Also, as the matched share is not likely to be affected by the equity offering, we expect  to be not statistically significant. Following the literature (Chung, Elder, & Kim, 2010;Grullon, Kanatas, & Weston, 2004;Kryzanowski et al, 2010;Rhee & Wang, 2009;Sankaraguruswamy, Shen, & Yamada, 2013), we use the following stock-month control variables: volume traded (in logs), for which we expect a negative sign (higher liquidity); volatility, which should have a positive sign; return, which should have a negative sign; and price (in logs) which we expect to have a negative sign. Table 3 presents the main results of the regression analysis of the model.…”

“…Additionally, they show an increase in participation of institutional investors, both in number and ownership share, which is also a source of liquidity improvement, given that institutional investors are usually deemed to be non-informed liquidity investors that frequently rebalance their portfolio (Rubin, 2007). Reduction of information asymmetry upon a SEO is measured by Brooks & Patel (2000) for NYSE and AMEX, and Kryzanowski, Lazrak & Rakita (2010) for TSX, who find a drop in the adverse selection component of the bid-ask spread.…”