Artículos

Permanent URI for this collection

https://hdl.handle.net/10201/153980

Browse

Browsing Artículos by Author "Abad, David"

Now showing 1 - 3 of 3
  • Thumbnail Image
    Publication
    Open Access
    Does IFRS Mandatory Adoption Affect Information Asymmetry in the Stock Market?
    (2018) Sánchez Ballesta, Juan Pedro; Abad, David; Cutillas Gomariz, M. Fuensanta; Yagüe, José; Organización de Empresas y Finanzas; Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzas
    The purpose of International Financial Reporting Standards (IFRS), adopted mandatorily by European listed firms in 2005, is to increase the transparency and the comparability of accounting information, which should have led to improvements in these firms’ information environments. This study uses market microstructure proxies for information asymmetry to examine the effects of IFRS adoption on the level of information asymmetry in the Spanish stock market. Therefore, we consider a setting with substantial differences between local standards – Spanish Accounting Standards (SAS) – and IFRS and where the level of enforcement is low. By controlling for conventional determinants of information asymmetry and firms’ characteristics that influence their information environments, we find a reduction of information asymmetry after IFRS adoption. Our findings suggest that the mandatory switch from local accounting standards to IFRS conveys benefits to the market, even when the enforcement level is not strong.
  • Thumbnail Image
    Publication
    Embargo
    Message traffic and short-term illiquidity in high-speed markets
    (Elsevier, 2024-12-31) Abad, David; Massot, Magdalena; Nawn, Samarpan; Pascual, Roberto; Yagüe, José; Organización de Empresas y Finanzas
    We examine which components of message traffic in a high-speed equity market, including orders from traders with varying technological capabilities, signal short-term illiquidity. Our findings show that only the unexpected component of high-frequency traders' (HFTs') net buying pressure — arising from both aggressive and non-aggressive orders — predicts increases in immediacy costs and price impacts. Updates to outstanding limit orders, driven by prior efficient pre returns, strengthen the signaling power of HFTs' order flow. Additionally, market-wide HFTs' net buying pressure improves the ability to forecast short-term illiquidity in individual stocks.
  • Thumbnail Image
    Publication
    Open Access
    Real Earnings Management and Information Asymmetry in the Equity Market
    (2018) Abad, David; Cutillas Gomariz, M. Fuensanta; Sánchez Ballesta, Juan Pedro; Yagüe, José; Organización de Empresas y Finanzas; Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Organización de Empresas y Finanzas
    The literature suggests that real earnings management (REM) activities can increase adverse selection risk in capital markets. Due to their opacity and the difficulties in understanding their implications, REM strategies may increase the level of information asymmetry among investors. This paper examines the association between earnings management through real activities manipulation and information asymmetry in the equity market. To estimate the level of adverse selection risk we use a comprehensive index of information asymmetry measures proposed by the market microstructure literature. For a sample of Spanish listed firms, we find that firms’ strategies of increasing earnings through REM are associated with higher information asymmetry in those firms that meet last year’s earnings. Our findings are consistent with the hypothesis that earnings management through real activities manipulation garbles the market, enhances private information production, and exacerbates information asymmetry in the stock market