Prior literature indicates that bid-ask spreads are higher and depths are lower around earnings announcements than during non-announcement periods. This thesis investigates two important aspects of this drop in market liquidity, namely (a) the ability of management to mitigate the drop in market liquidity around earnings announcements by using their discretion to announce the earnings news during non-trading instead of trading hours and (b) the conjecture that the drop in market liquidity before earnings announcements relates to the richness of the information environment. The study confirms the idea that the intraday timing of earnings announcements affects the drop in market liquidity. A robust relationship between the information environment and the drop in market liquidity before earnings announcements cannot be documented however.
|Qualification||Doctor of Philosophy|
|Award date||8 Nov 2002|
|Place of Publication||Tilburg|
|Publication status||Published - 2002|