We empirically examine the initial loan announcement period of 96 zero-leverage firms listed on the FTSE 350 index. Our research demonstrates that there is a clear tendency that trades are executed at the ask price during the initial loan announcement period, which are regarded as favorable firm-level news. Similar results are observed for subsamples formed on the basis of trade size. Order flow disruption causes a bias in the calculation of returns around the company event announcement.
|Number of pages||8|
|Journal||Quarterly Review of Economics and Finance|
|Publication status||Published - 19 Apr 2021|
- Bid-ask bounce
- Bid-ask spread
- Order flow ratio