Earticle

초록

영어

This paper investigates which component of price impact plays a main role for asset pricing. To find a main component, we decompose the price impacts measured by turnover-version Amihud illiquidity into the permanent and transitory price impacts. We then further decompose each of these price impacts into half-price impact measures that correspond 1) positive and negative return days, and 2) good and bad news days. We find that, among the eight decomposed half-price impact measures, the “transitory half-price impact associated with bad news days” is the main component of the turnover-version Amihud illiquidity measure. Based on this finding, we suggest a new price impact measure, “Net price impact”, defined as the average net ratio of the daily transitory deviation to share turnover. With this suggested measure, we find that the price impact measure that takes into account the investors’ asymmetric response to not only the good and bad news days but also the asymmetric effect of transitory deviation associated with the news is better in explaining future stock returns.

목차

Abstract
 1. Introduction
 2. Decomposition of the price impact
 3. Empirical methodology and results
  3.1. Data and variable descriptions
  3.2. Cross-sectional analysis with half-price impact measures
  3.3. Cross-sectional analysis with decomposed half-price impact measures
 4. Net price impact measure
  4.1. Constructing a net price impact measure
  4.2. Cross-sectional analysis with Net price impact measures
  4.3. Portfolio analysis with Net price impact measure for bad news days
 5. Conclusion
 References

키워드

저자

• Yongsik Kim [ School of Management Engineering, KAIST College of Business, 85 Hoegiro, Dongdaemun-gu, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330