Disposition sales and stock market liquidity
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要I examine the impact of the V-shaped disposition effect, which results in uninformed sales when investors realize large gains and losses. Adverse selection risk is reduced in the presence of more uninformed sales. I show in a model that market makers should post tighter bid-ask spreads and quote prices that are less sensitive to sales. Using stocks with merger and acquisition announcements, which increase the magnitude of investors' unrealized gains or losses and trigger disposition sales in the post-announcement period, I find evidence supporting these predictions.
著者Darwin Choi
期刊名稱Journal of Financial Markets
出版年份2019
月份9
卷號45
出版社Elsevier
頁次19 - 36
國際標準期刊號1386-4181
電子國際標準期刊號1878-576X
語言美式英語
關鍵詞V-shaped disposition effect, Uninformed traders, Liquidity, Price impact

上次更新時間 2021-21-01 於 23:42