Earnings Predictability, Information Asymmetry, and Market Liquidity

By J. Affleck-Graves, Carolyn M. Callahan, N. Chipalkatti. 2002

184 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2fe84878cd2775269d678c5b2a532bcfb5f121dc

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Citations in the corpus

The Impact of Earnings Quality on Firm Value: The Case of Vietnam (2020, background): “Affleck-Graves, Callahan, and Chipalkatti (2002) found the effect of profitability predictability on the bid spread (a measure of cost of equity).”
Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs*: Earnings Quality and Information Asymmetry (2013, unknown): “29 See, for example, Bamber (1987), Bamber, Barron and Stober (1997), Bhattacharya (2001), among others. random-walk earnings surprise variable (scaled by stock price) to control for magnitudes of earnings surprises (e.g., Affleck-Graves et al. 2002).”
Understanding Earnings Quality: A Review of the Proxies, Their Determinants and Their Consequences (2010, background): “Earnings predictability, however, is associated with bid-ask spreads (Affleck-Graves et al., 2002). Smoothness is associated with the implied cost of equity capital at the firm level and country level (Francis et al., 2004; Bhattacharya et al., 2003b). Jayaraman (2008) finds a U-shaped relation betw”
Does Good Corporate Governance Reduce Information Asymmetry Around Quarterly Earnings Announcements (2007, unknown): “7 Previous studies also consider the percentage spread (Venkatesh and Chiang, 1986; Affleck-Graves et al., 2002) and quoted depth (Lee et al.”
Market Reaction to Corporate Press Releases (2013, background): “…news mainly centered on the response to earnings and dividend announcements and showed that these types of announcements are accompanied by higher-than-usual trading volume (e.g., Bajaj and Vijh (1995), Kandel and Pearson (1995), Affleck-Graves et al. (2002), Chae (2005), and Graham et al. (2006)).”
News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, unknown): “Prior research documenting changes in liquidity around earnings announcements commonly attributes the decrease in liquidity to increases in adverse selection risks (e.g., Krinsky and Lee, 1996; Affleck-Graves, Callahan, and Chipalkatti, 2002).”