Show simple item record

dc.contributor.authorChakrabarty, Bidisha
dc.contributor.authorMoulton, Pamela
dc.date.accessioned2020-09-12T21:07:25Z
dc.date.available2020-09-12T21:07:25Z
dc.date.issued2012-01-10
dc.identifier.other4733704
dc.identifier.urihttps://hdl.handle.net/1813/72029
dc.description.abstractWe identify a new channel – market makers’ attention constraints – through which earnings announcements for one stock affect the liquidity of other stocks. When some stocks handled by a designated market maker have earnings announcements, liquidity is lower for non-announcement stocks handled by the same market maker, with the largest effects coming from earnings surprises and stocks with high earnings response coefficients. Half of the liquidity decline reflects attention constraints binding on the individual market maker, and the other half is explained by the market maker's inventory. We further find that a market design change that increases automation alleviates the liquidity effect of attention constraints, despite an increase in the number of stocks allocated to each market maker.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Elsevier. Final version published as: Chakrabarty, B., & Moulton, P. C. (2012). Earnings announcements and attention constraints: The role of market design. Journal of Accounting and Economics, 53(3), 612-634. Reprinted with permission. All rights reserved.
dc.subjectmarket design
dc.subjectliquidity
dc.subjectearnings announcements
dc.subjectautomation
dc.titleEarnings Announcements and Attention Constraints: The Role of Market Design
dc.typearticle
dc.relation.doihttps://doi.org/10.1016/j.jacceco.2012.01.001
dc.description.legacydownloadsMoulton3_Earnings_announcements.pdf: 514 downloads, before Aug. 1, 2020.
local.authorAffiliationChakrabarty, Bidisha: St. Louis University
local.authorAffiliationMoulton, Pamela: pm388@cornell.edu Cornell University School of Hotel Administration


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Statistics