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dc.contributor.advisorBrockman, Paul D., 1958-eng
dc.contributor.authorNikiforov, Andrei I., 1975-eng
dc.date.issued2009eng
dc.date.submitted2009 Summereng
dc.descriptionTitle from PDF of title page (University of Missouri--Columbia, viewed on Feb 26, 2010).eng
dc.descriptionThe entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file.eng
dc.descriptionDissertation advisor: Dr. Paul Brockman.eng
dc.descriptionVita.eng
dc.descriptionIncludes bibliographical references.eng
dc.descriptionPh.D. University of Missouri--Columbia 2009 .eng
dc.descriptionDissertations, Academic -- University of Missouri--Columbia -- Business Administration.eng
dc.description.abstractIn these essays, I identify the effects of earnings seasons (i.e., the clustering of earnings releases), on stock market liquidity and asset pricing. In the first essay, I document strong seasonal regularities associated with aggregate earnings announcements. Applying the large body of literature linking earnings announcements to liquidity effects, I argue that these earnings seasons create market-wide liquidity shocks and I show that both liquidity betas and liquidity risk change during earnings seasons In the second essay, I test the impact of earnings seasons on commonality in liquidity as measured by both spreads and depths. I find that commonality significantly decreases during the four weeks of each calendar quarter when most companies release their earnings. These findings contribute to the literature by identifying and examining the clustering effect of firm-specific information on commonality in liquidity. In the third essay, I extend the study of the liquidity effects of earnings seasons to a sample of 20 countries. I find that the international data corroborate both hypotheses. I also find that the aggregate quality of accounting information, and the duration and frequency of interim reporting periods are important determinants of the liquidity effects (both liquidity betas and commonality in liquidity) during earnings seasons.eng
dc.format.extentviii, 136 pageseng
dc.identifier.oclc607568349eng
dc.identifier.urihttps://hdl.handle.net/10355/7016
dc.identifier.urihttps://doi.org/10.32469/10355/7016eng
dc.languageEnglisheng
dc.publisherUniversity of Missouri--Columbiaeng
dc.relation.ispartof2009 Freely available dissertations (MU)eng
dc.relation.ispartofcommunityUniversity of Missouri-Columbia. Graduate School. Theses and Dissertations. Dissertations. 2009 Dissertationseng
dc.subject.lcshLiquidity (Economics)eng
dc.subject.lcshStockseng
dc.subject.lcshPriceseng
dc.subject.lcshWageseng
dc.titleThree essays on stock market liquidity and earnings seasonseng
dc.typeThesiseng
thesis.degree.disciplineBusiness administration (MU)eng
thesis.degree.grantorUniversity of Missouri--Columbiaeng
thesis.degree.levelDoctoraleng
thesis.degree.namePh. D.eng


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