Cash-flow news, market liquidity and liquidity risk

Autor:	Shieh-Liang Chen, Yi-Mien Lin, Yun-Sheng Hsu
Rok vydání:	2009
Předmět:	Economics and Econometrics Financial economics education Stock market bubble Non-qualified stock option social sciences Restricted stock Market maker Time-weighted return Stock exchange behavior and behavior mechanisms Absolute return Economics Stock market health care economics and organizations
Zdroj:	Applied Economics. 41:1137-1156
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036840601019158
Popis:	This article adopts Campbell's (1991) return decomposition model to decompose the unexpected stock return and unexpected excess stock return in the US stock market. The study also investigates the factors that cause the shock to stock return and excess stock return. We further examine the responses of stock market to cash-flow news, expected stock return news, expected excess stock return news and interest rate news. Last, we examine the reaction of market liquidity, liquidity risk and abnormal trading volume to cash-flow news, expected stock return news, expected excess stock return news and interest rate news. Our main findings are summarized as follows: first, cash-flow news is the main driver of stock return and excess stock return in stock market. Second, the dividend payout ratio is able to predict stock return and excess stock return. Third, under the model of stock return variance, unexpected market liquidity and unexpected liquidity risk are negatively related to expected stock return news, but n...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4d71641284b8269a106f04c3b2cd519b https://doi.org/10.1080/00036840601019158 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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