News-driven return reversals: Liquidity provision ahead of earnings announcements
This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant time...
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| Format: | Article |
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Elsevier BV
2018
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| Online Access: | http://hdl.handle.net/1721.1/119665 https://orcid.org/0000-0002-9345-2123 |