FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124130132> ?p ?o ?g. }

• W3124130132 endingPage "8" @default.
• W3124130132 startingPage "1" @default.
• W3124130132 abstract "ABSTRACTWe use order imbalance to investigate dynamic relations among intraday return, volatility and order imbalance of stock spinoffs. A GARCH model is employed to examine whether the larger order imbalance is associated with larger stock price volatility. We do not find a significant positive relation between them, which implies that market makers do a successful job of mitigating volatility on spinoffs. Moreover, we develop imbalance-based trading strategies and find they can beat open-to-close returns only in the 5-minutes time interval.JEL: G14, G34KEYWORDS: Spin-off, Order Imbalance, Market Efficiency, Volatility(ProQuest: ... denotes formulae omitted.)INTRODUCTIONIn recent decades, many diversified firms have gone back to basics by focusing on their core business. A spinoff, defined as a pro-rata distribution of a share of the subsidiary to the original parent's stockholders, is a common way to sharpen focus. The majority of studies document significant positive abnormal stock returns around spinoff announcements (See Cusatis et al. 1993; Krishnaswami and Subramaniam, 1999; Mulherin and Boone, 2000; Huson and MacKinnon, 2003; Maxwell and Rao, 2003; and Son and Crabtree, 2011). Many papers also present evidence that spinoffs increase long-run shareholder value (e.g. Burch and Nanda, 2003; Ahn and Denis, 2004; Kim et al., 2008; Lin and Yung, 2013; Jordan et al., 2014). The above studies use daily data to explore the abnormal returns. To our knowledge, no existing study that explores the behavior of market microstructure on the announcement day of a spinoff. In this study, we use intraday transactions to examine convergence in spin-off market efficiency. We explore whether lagged stock order imbalances could be used to predict stock returns. According to Charoenwong et al. (2008), prior to the spinoff announcement, trading could be mainly initiated by insiders. Nonetheless, trading on the announcement day could be mainly initiated by uninformed traders, who could only trade the stocks after hearing the announcement day news.We employ a time-varying GARCH model to examine whether larger stock price volatility is positively associated with larger order imbalance. We develop an imbalance-based trading strategy, which is to buy the stock at the ask price just when the positive imbalance appears, and to sell the stock once the negative imbalance appears.This paper makes several contributions. First, on the announcement day of the spin-off, market makers can mitigate volatility from discretionary trades through inventory adjustments. Second, we investigate the relationship between order imbalances and returns as we explore the intraday dynamics that are essential in the convergence process of the spin-off announcement. The remainder of the paper is organized as follows. In the next section, we present a literature review. The following section provide a discussion of the data and methodology used. Next, we present the study results and close with some concluding comments.LITERATURE REVIEWThe literature presents several explanations of the value gains to spinoffs (short-run stock abnormal return or long-run shareholder value). First, parent firms divest unrelated divisions to sharpen their core business competence (Daley et al. 1997; Desai and Jain, 1999). Second, the management team of the parent enjoys increasing managerial efficiency, reducing potential misallocation of investment, improving operating performance, and eliminating negative synergies to mitigate the information asymmetry between managers and investors by allowing more accurate estimation of firm value (Schipper and Smith, 1983; Aim and Denis, 2004). Third, the wealth gains associated with spinoffs result from the correction of a prior mistake, which was an unprofitable earlier acquisition. A spinoff represents the undoing of that unwise takeover (Allen et al., 1995). In addition, transfer of wealth from bondholders to shareholders (Veld and VeldMerkoulova, 2004; Veld and Veld-Merkoulova, 2008), relaxing tax and regulatory burdens (Schipper and Smith, 1983), facilitation of a merger or takeover (Cusatis et al. …" @default.
• W3124130132 created "2021-02-01" @default.
• W3124130132 creator A5029077335 @default.
• W3124130132 creator A5034833980 @default.
• W3124130132 creator A5079799241 @default.
• W3124130132 date "2015-03-01" @default.
• W3124130132 modified "2023-09-22" @default.
• W3124130132 title "Evidence on the Speed of Convergence to Market Efficiency: Evidence from Stock Spin-Offs" @default.
• W3124130132 hasPublicationYear "2015" @default.
• W3124130132 type Work @default.
• W3124130132 sameAs 3124130132 @default.
• W3124130132 citedByCount "0" @default.
• W3124130132 crossrefType "posted-content" @default.
• W3124130132 hasAuthorship W3124130132A5029077335 @default.
• W3124130132 hasAuthorship W3124130132A5034833980 @default.
• W3124130132 hasAuthorship W3124130132A5079799241 @default.
• W3124130132 hasConcept C10138342 @default.
• W3124130132 hasConcept C106159729 @default.
• W3124130132 hasConcept C120757647 @default.
• W3124130132 hasConcept C127413603 @default.
• W3124130132 hasConcept C151730666 @default.
• W3124130132 hasConcept C162324750 @default.
• W3124130132 hasConcept C204036174 @default.
• W3124130132 hasConcept C2779093199 @default.
• W3124130132 hasConcept C2780299701 @default.
• W3124130132 hasConcept C2780762169 @default.
• W3124130132 hasConcept C39389867 @default.
• W3124130132 hasConcept C78519656 @default.
• W3124130132 hasConcept C86803240 @default.
• W3124130132 hasConcept C91602232 @default.
• W3124130132 hasConceptScore W3124130132C10138342 @default.
• W3124130132 hasConceptScore W3124130132C106159729 @default.
• W3124130132 hasConceptScore W3124130132C120757647 @default.
• W3124130132 hasConceptScore W3124130132C127413603 @default.
• W3124130132 hasConceptScore W3124130132C151730666 @default.
• W3124130132 hasConceptScore W3124130132C162324750 @default.
• W3124130132 hasConceptScore W3124130132C204036174 @default.
• W3124130132 hasConceptScore W3124130132C2779093199 @default.
• W3124130132 hasConceptScore W3124130132C2780299701 @default.
• W3124130132 hasConceptScore W3124130132C2780762169 @default.
• W3124130132 hasConceptScore W3124130132C39389867 @default.
• W3124130132 hasConceptScore W3124130132C78519656 @default.
• W3124130132 hasConceptScore W3124130132C86803240 @default.
• W3124130132 hasConceptScore W3124130132C91602232 @default.
• W3124130132 hasIssue "2" @default.
• W3124130132 hasLocation W31241301321 @default.
• W3124130132 hasOpenAccess W3124130132 @default.
• W3124130132 hasPrimaryLocation W31241301321 @default.
• W3124130132 hasRelatedWork W1156723192 @default.
• W3124130132 hasRelatedWork W1516080317 @default.
• W3124130132 hasRelatedWork W1521943356 @default.
• W3124130132 hasRelatedWork W1527110907 @default.
• W3124130132 hasRelatedWork W1530420599 @default.
• W3124130132 hasRelatedWork W1544095856 @default.
• W3124130132 hasRelatedWork W1549190565 @default.
• W3124130132 hasRelatedWork W2019852141 @default.
• W3124130132 hasRelatedWork W2128965010 @default.
• W3124130132 hasRelatedWork W2241657340 @default.
• W3124130132 hasRelatedWork W2258394248 @default.
• W3124130132 hasRelatedWork W2341687251 @default.
• W3124130132 hasRelatedWork W2372118541 @default.
• W3124130132 hasRelatedWork W2770718686 @default.
• W3124130132 hasRelatedWork W2890713733 @default.
• W3124130132 hasRelatedWork W327189529 @default.
• W3124130132 hasRelatedWork W800845827 @default.
• W3124130132 hasRelatedWork W990339321 @default.
• W3124130132 hasRelatedWork W2160816433 @default.
• W3124130132 hasRelatedWork W3124909670 @default.
• W3124130132 hasVolume "9" @default.
• W3124130132 isParatext "false" @default.
• W3124130132 isRetracted "false" @default.
• W3124130132 magId "3124130132" @default.
• W3124130132 workType "article" @default.