Finance and Financial Management Commons^™

Decimalization, Ipo Aftermath, And Liquidity, Charlie Charoenwong, David K. Ding, Tiong Yang Thong

Research Collection Lee Kong Chian School Of Business

We investigate the effect of decimalization on the aftermarket trading of NYSE-listed IPOs. We find that the relation between bid–ask spread and underpricing becomes negative post-decimalization, suggesting that benefits from the increased price competition accrue more to hot IPOs. The quoted depth is generally smaller post-decimalization due to a higher probability of front running, which aggravates the cost of adverse selection and limit order submission. We show that underwriters continue to provide price support but are only willing to cover the initial short position, if profitable to do so. Decimal pricing does not affect the flipping strategy of institutions for …

Local Business Cycles And Local Liquidity, Gennaro Bernile, George Korniotis, Alok Kumar, Qin Wang

Research Collection Lee Kong Chian School Of Business

This study examines whether state-level economic conditions affect the liquidity of local firms. We find that liquidity levels of local stocks are higher (lower) when the local economy has performed well (poorly). This relation is stronger when local financing constraints are more binding, the local information environment is more opaque, and local institutional ownership levels and trading intensity are higher. Overall the evidence supports the notion that the geographical segmentation of U.S. capital markets generates predictable patterns in local liquidity.

Liquidity, Governance And Adverse Selection In Asset Pricing, Sascha Strobl

FIU Electronic Theses and Dissertations

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for.

In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, …

The Effects Of Etf Splits On Returns, Liquidity, And Individual Investors, Susana Yu, Gwendolyn Webb

Department of Accounting and Finance Faculty Scholarship and Creative Works

Purpose – The purpose of this paper is to extend the literature on the effects of stock splits from mutual funds splits and the QQQ split to 20 exchange traded funds (ETFs) that span a wide variety of indexes. The split sample is compared to a non-split control sample with similar characteristics between 2000 and 2006. The objectives of this study are to investigate whether the results are different between the split sample and the control sample; and whether these results are similar to other investment vehicles in the existing literature. Design/methodology/approach – The paper examines stock excess returns, total …