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The purpose of this paper is to determine whether information produced in the takeover process or changes in firm characteristics after takeovers affect bidder liquidity.

This paper compares the liquidity changes for bidders that complete their takeovers (successful bidders) and bidders that eventually withdraw their takeover attempts (unsuccessful bidders) to disentangle the information production hypothesis and the firm characteristics hypothesis. The authors use both media mentions and changes in the standard deviation of market model residuals to proxy for the information produced in the takeover process, intraday data to construct the liquidity measures, and regression analyses to examine the determinants of bidder liquidity changes.

This paper finds that unsuccessful bidders experience no less information production than successful bidders during the takeover process, but only successful bidders enjoy liquidity improvements. Once the authors control for the changes in firm characteristics, whether a takeover is successful or not no longer affects bidder liquidity. Moreover, information production reduces information asymmetry for successful Nasdaq bidders but not NYSE bidders. These findings collectively support the firm characteristics hypothesis but also suggest a role of information production on firms with higher information asymmetry.

This paper provides the direct evidence that the information produced in the takeover process does not lead to liquidity improvements of the bidders. It also supplements existing literature with a more comprehensive sample and sheds light on how acquisition withdrawals affect firms' liquidity.

Firms issuing equity securities for capital must recognize that this issuance may alter the ownership concentration of the firm. Through this change in ownership structure, the market liquidity of the firm's stock may also change, which has implications for the cost of equity capital and firm value. This paper aims to examine a specific security, the common stock purchase warrant, within this context. It also aims to posit that the decision to issue warrants has important implications for the firm's subsequent ownership structure and market liquidity.

The paper's unique dataset of warrant‐issuing firms tracks the warrants from their issue through to their exercise. Based on the study of SEOs by Kothare, the ownership concentration and market liquidity of the underlying stock prior to and following warrant exercises are measured. The paper examines the causal relations between warrant exercises and ownership changes, and between ownership changes and market liquidity.

The paper shows that firms experience a statistically and economically significant decrease in ownership concentration following warrant exercises. Examining the liquidity effects of this change in ownership, it shows that market liquidity increases significantly after the exercise of warrants, consistent with the literature. The decrease in concentration following warrant exercises is experienced exclusively by firm insiders. The paper also finds that outsiders increase their holdings in firms with a high concentration of inside holdings and in firms with a low concentration of outside holdings prior to warrant exercises; that is, they use warrant offerings to increase their influence in the firm.

This study is the first to the authors' knowledge that investigates warrants through their entire life span, and the first to examine the effects of warrant exercises on the performance and market liquidity of the firm. The results contribute to securities issuance, ownership, and liquidity literatures.

The purpose of this paper is to examine the role of monetary liquidity in house price evolution through examining the Asset (housing) Inflation channel. It identifies the main channels of transmission affecting house prices from monetary supply channels to house price change, examining how the Asset Price channel transmits changes in M1 to housing prices in Spain and the UK.

The paper uses Vector Auto Regression (VAR) and Error Correction models to test the Asset Inflation channel in the UK and Spain from 1991 to 2013 in two steps. In the first step, the supply elasticity is estimated through the long-term relationship between house prices and stock supply. The second step estimates a Vector Error Correction (VEC) to explain house price dynamics conditioned on supply reactions. The latter is defined as a long-term inverse demand model where housing prices are controlled by fundamentals in each market. Models allow forecast testing using Choleski impulse responses methodology.

Several results are found. In the supply model, both countries show rapid convergence to equilibrium with a larger elasticity of supply in Spain than in the UK but with a short run effect of new supply on prices in the UK. Regarding the Asset Inflation Channel model, the paper finds evidence of the existence of a housing accelerator effect in Spain, but not in the UK where changes in liquidity fully impact house prices in one direction.

Implications of findings are mainly to forecast the effects of Monetary Policy measures in different economies.

The model supports the evaluation of different impacts of monetary policy in territories. It shows that the same policy will have different impacts in different housing markets and therefore highlights the importance of examining each market separately to identify the appropriate policy interventions.

This is the first paper that estimates the impact of the Asset Inflation Channel on house prices that endogenises housing market conditions and compares effects and interrelationships in two different economies.

The purpose of this paper is to examine changes in stock returns, liquidity, institutional ownership, analyst following and investor awareness for companies added to and deleted from the Dow Jones Industrial Average (DJIA) index. Previous studies report conflicting evidence regarding the market reactions to changes in the DJIA index membership.

This study uses the event-study methodology to calculate abnormal returns and trading volume around the announcement and effective days of DJIA index changes from 1929 to 2015. It also tests for significant changes in liquidity, institutional ownership, analyst following and investor awareness in the 1990–2015 period. Multivariate regressions are used to perform a simultaneous analysis of competing hypotheses.

This study resolves the mixed results of previous DJIA index papers by documenting different stock price and trading volume reactions over the 1929–2015 period. Focusing on the most recent period, 1990–2015, the study finds that stocks added to (deleted from) the index experience a significant permanent stock price gain (loss). The observed stock price reaction seems to be associated with changes in liquidity proxies thus lending support for the liquidity hypothesis.

Limited data availability for the periods prior to 1990 prevents this study from identifying the exact reasons for different stock price and trading volume reactions across subperiods of the 1929–2015 period.

This study provides the most comprehensive examination of market reactions to changes in the DJIA index and resolves the mixed results of previous studies. A better understanding of market reactions around the DJIA index changes can help both individual and institutional investors with developing effective trading strategies and index managing companies with designing optimal announcement policies.

The purpose of this paper is to examine the impact on stock liquidity following the reduction of minimum tick size from $0.01 to $0.005 for a selection of dual-listed and property stocks on the New Zealand Exchange (NZX) during 2011.

Various liquidity measures were examined six months either side of the change in minimum tick size for the eligible stocks and these were compared to a sample of stocks matched on similar liquidity characteristics. Liquidity measures examined in the paper include quoted and effective spread, volume, depth and binding-constraint probability.

After controlling for firms matched on similar pre-period liquidity characteristics both spread and depth decline significantly. Evidence that small firms experience significant declines in trading activity was also found, and while firms with higher binding-constraints probability have greater declines in spread, their decline in depth is greater still.

The small sample of 17 stocks eligible for the $0.005 minimum tick size potentially impacts on the strength of the statistical analysis. As such, it is harder to detect statistically significant changes in liquidity.

These findings have important implications for policymakers as the hoped for benefits of smaller tick increments may only be fully realized by larger more active stocks.

The paper examines the impact of a change in minimum tick size on eligible New Zealand Exchange (NZX) stocks to determine whether it meet the stated NZX goal of boosting liquidity.

The purpose of this study is to compare market reactions to the change in the demand by index funds between large and small company stocks by examining the transition of the S&P 500, S&P 400 MidCap and S&P 600 SmallCap indexes from market capitalization to free-float weighting. This unique information-free event allows not only avoiding confounding information signaling and investor awareness effects but also comparing the effect of the decrease in demand on stocks of different sizes.

This study uses the event study methodology to calculate abnormal returns and trading volume around the full-float adjustment day. It also tests for significant changes in institutional ownership and liquidity. Multivariate regressions are used to examine the relation of liquidity changes and price elasticity of demand to the cumulative abnormal returns around the full-float adjustment day.

This study finds significant decreases in stock price accompanied with significant increases in trading volume on the full-float adjustment day, and significant gains in quasi-indexer institutional ownership and liquidity. The main finding is that cumulative abnormal returns around the event period are related to changes in the number of quasi-indexer and transient institutional shareholders, not to changes in liquidity or price elasticity of demand.

This study provides the first comprehensive comparison analysis of stock market reactions to the decline in demand between large and small company stocks. As an important implication for future studies of the index effect, changes in institutional ownership should be considered in the analysis.

This paper examines and updates an earlier study of the liquidity of an extensive array of common stocks traded on NYSE/ASE/NML‐NASDAQ. It reports apparent variances in liquidity due to trading location and other variables. The paper suggests causes for these differences.

There is empirical evidence that a firm's addition to S&P 500 results in significant abnormal returns and an increase in a stock's liquidity. The purpose of this paper is to argue that changes in the information environment after the year 2000 due to the implementation of Regulation Fair Disclosure (FD), decimalization and Sarbanes Oxley Act, should result in reduced abnormal returns in the post‐2000 period.

The authors compare the abnormal returns and liquidity changes around the announcement day of firm's addition to S&P 500 in the pre‐ and post‐2000 periods. Univariate and multivariate tests are used to control for factors that research shows affect the abnormal returns around additions to S&P 500.

It is found that the reduction in informational asymmetry in the post‐2000 period has resulted in a significant decrease in the abnormal return on the announcement day of additions to S&P 500 index and changes in the stock's liquidity in the post announcement period are now marginal.

Existing literature related to changes in the abnormal returns around additions to S&P 500 does not account for changes in the information environment in the two sub periods, pre‐ and post‐2000. The results may have implications for studies related to additions to S&P 500 where the sample period spans over the two sub periods.

This study aims to investigate the effects of IFRS convergence on market liquidity and to analyze the firm-level heterogeneity in liquidity effects based on reporting incentive, firm size, ownership structure and firm leverage.

The empirical analysis is based on firm-fixed effect regression using several proxies of market liquidity as dependent variables. The sample consists of 337 firms listed on the National Stock Exchange (NSE) who shifted to IFRS from the financial year 2016–2017.

The empirical findings indicate that IFRS convergence has contributed to the significant increase in market liquidity in a weaker enforcement country, i.e. India. Additionally, when the study performs the heterogeneity test of IFRS impact, the results indicate the presence of significant cross-sectional differences in such liquidity effects across firms. Thus, altogether the findings suggest that both accounting convergence and firm-level factors are likely to be the mechanism underlying the observed improvement in market liquidity.

In the current literature, there is an ongoing debate about whether the observed post-IFRS effects are driven by the change in accounting standard per se or by other related factors. Therefore, by studying the liquidity effects of IFRS convergence in India, this study provides evidence regarding the sources of the documented IFRS effects. Moreover, the study indicates the significance of firm-level factors in determining the observed liquidity outcomes around IFRS adoption, which is unique to the literature.

The purpose of this study is to examine the performances of liquidity factors in the stock market cycle. It aims to investigate whether the contribution of liquidity factors changes with stock market trends.

Six liquidity proxies and two-factor construction methods are compared in this study. The spanning regression method was applied to examine the contribution of liquidity factors to the asset pricing model, while the Fama and MacBeth regression method was used for examining the pricing power of liquidity factors.

The result shows that liquidity factors are accretive to models explaining returns in bull markets but not accretive to models in bear markets. The most appropriate method of constructing liquidity factors in the Japanese stock market has also been clarified.

In the Japanese stock market, there has never been a comprehensive test of the role of the liquidity risk factor in different market trends using the long-run data. This study helps with identifying the importance of liquidity pricing risk in different market trends. It also fills the gaps by comparing liquidity factors that are constructed through different methods and proxies and provides evidence for further confirming the correct asset pricing model in the future.