The impact of order flow on event study returns: New evidence from zero-leverage firms

Sijia Zhang , Andros Gregoriou

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)627-634
Number of pages8
JournalQuarterly Review of Economics and Finance
Volume80
DOIs
Publication statusPublished - 19 Apr 2021

Keywords

  • Bid-ask bounce
  • Bid-ask spread
  • Liquidity
  • Order flow ratio

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