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- W3131445041 abstract "ABSTRACTThis study tests investors’ asymmetry level around the quarterly reports of 47 shares from 2010 to the second quarter of 2020. This asymmetry level was determined by analysing three measures: the Corwin and Schultz’s (Citation2012) spread level, residual sum of squares (RSS) with the capital asset pricing model, and the illiquidity ratio, which were lower after the event for some cases. When discerning between good and bad surprises, statistical differences emerged only with the RSS measure. During the COVID-19 period, these measures were lower after the event for more cases. Thus, information asymmetry significantly reduces in periods of uncertainty, suggesting that quarterly reports are more useful for investors during these periods.KEYWORDS: information asymmetryspreadilliquidity ratioCOVID-19 AcknowledgmentsWe would like to thank Taylor & Francis Editing Services [https://www.tandfeditingservices.com/] for editing and reviewing this manuscript for English language." @default.
- W3131445041 created "2021-03-01" @default.
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- W3131445041 date "2021-01-02" @default.
- W3131445041 modified "2023-10-02" @default.
- W3131445041 title "Measuring the asymmetry level around quarterly reports in the Dow Jones, Nasdaq, and Standard & Poor’s: Before and during the COVID-19 pandemic" @default.
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- W3131445041 doi "https://doi.org/10.1080/10293523.2021.1876826" @default.
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