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- W137287213 abstract "I extend the sequential trade model of market-making developed by Glosten and Milgrom (1985) to a highly stylized form and obtain the following theoretical predictions. First, a stock with a lower firm-value variation is more liquid, i.e., is traded with a narrower bid-ask spread. Second, whether stocks associated with stronger public news signals have better stock liquidity, depends on a critical condition regarding the relative number of uninformed/informed traders, and the information content of public news events. Third, stocks associated with more public news signals have less volatile transaction liquidity. Fourth, the reduction on liquidity volatility due to greater news strength, will be less significant for stocks with low firm value variations. Although my model predictions are in line with some extant empirical work, it indicates that there is still room for more in-depth empirical studies." @default.
- W137287213 created "2016-06-24" @default.
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- W137287213 date "2013-01-01" @default.
- W137287213 modified "2023-10-18" @default.
- W137287213 title "Public News, Firm Value Variations, and Stock Liquidity: A Stylized Theory" @default.
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- W137287213 doi "https://doi.org/10.2139/ssrn.2354228" @default.
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