News-driven return reversals: Liquidity provision ahead of earnings announcements
This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant time...
| Main Authors: | , |
|---|---|
| Other Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier BV,
2018-12-17T18:42:27Z.
|
| Subjects: | |
| Online Access: | Get fulltext |