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Liquidity Hypothesis (liquidity + hypothesis)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

The Price Premium of China A-Shares over Hong Kong H-Shares: A Further Visit of the Liquidity Hypothesis,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2009
Hing-Wah Lee
Abstract I examine the price premium between A-shares and H-shares using a sample of Hong Kong, Shenzhen, and Shanghai stock market intraday data in 2004. Following the market-microstructure approach, I reinvestigate the liquidity hypothesis by incorporating spread and depth. The study generates two important results. First, China A-shares on average provide better market liquidity than their Hong Kong H-share counterparts do. Second, after controlling for traditional liquidity measures and variables related to competing hypotheses, the percentage differences in quoted spread and depth between A-shares and H-shares still explain significantly the price premium. Endogeneity between spread and depth does not affect the major findings. [source]

Stock Price Response to Calls of Convertible Bonds: Still a Puzzle?

FINANCIAL MANAGEMENT, Issue 2 2007
Ivan E. Brick
The liquidity hypothesis predicts negative abnormal returns around the conversion-forcing call announcements of convertible bonds, followed by a price recovery. We find the former but not the latter. The liquidity hypothesis also implies that the abnormal returns during the announcement and the post-announcement periods should be related to proxies for the stock s liquidity. Again, our findings do not support these implications of the liquidity hypothesis. We conclude that the reason for the negative abnormal returns around the announcement of a conversion-forcing call needs further examination. [source]

The Price Premium of China A-Shares over Hong Kong H-Shares: A Further Visit of the Liquidity Hypothesis,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2009
Hing-Wah Lee
Abstract I examine the price premium between A-shares and H-shares using a sample of Hong Kong, Shenzhen, and Shanghai stock market intraday data in 2004. Following the market-microstructure approach, I reinvestigate the liquidity hypothesis by incorporating spread and depth. The study generates two important results. First, China A-shares on average provide better market liquidity than their Hong Kong H-share counterparts do. Second, after controlling for traditional liquidity measures and variables related to competing hypotheses, the percentage differences in quoted spread and depth between A-shares and H-shares still explain significantly the price premium. Endogeneity between spread and depth does not affect the major findings. [source]

The Information Content of Multiple Stock Splits

FINANCIAL REVIEW, Issue 4 2008
Gow-Cheng Huang
G14 Abstract We examine the relationship between the frequency of stock splits and firms' motives for splitting their stock. Compared to their peers, infrequent splitters show higher post-split operating performance, but not so for frequent splitters. We find that split ratio and liquidity change explain the stock split announcement effect for the frequent splitters. In contrast, the change in operating performance in the split year explains the announcement effect for the infrequent splitters. Our results suggest that frequent splits are more consistent with the trading range-improved/liquidity hypothesis and infrequent splits are more consistent with the signaling hypothesis. [source]