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

Sijia  Zhang; Andros Gregoriou

doi:10.1016/j.qref.2021.04.014

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

Sijia Zhang
, Andros Gregoriou

Law, Society and Justice Research Excellence Group

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	627-634
Number of pages	8
Journal	Quarterly Review of Economics and Finance
Volume	80
DOIs	https://doi.org/10.1016/j.qref.2021.04.014
Publication status	Published - 19 Apr 2021

Keywords

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

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10.1016/j.qref.2021.04.014

QREF_RevisionAccepted author manuscript, 480 KBLicence: CC BY-NC-ND

Cite this

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

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.",

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N2 - 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.

AB - 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.

KW - Bid-ask bounce

KW - Bid-ask spread

KW - Liquidity

KW - Order flow ratio

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JF - Quarterly Review of Economics and Finance

ER -

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

Abstract

Keywords

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