Graduation Semester and Year
2012
Language
English
Document Type
Dissertation
Degree Name
Doctor of Philosophy in Finance
Department
Finance
First Advisor
John David Diltz
Abstract
The first essay of this dissertation deals with the relationship between previous earnings, earnings forecasts, and future returns. I found that stocks with the worst previous earnings and the worst earnings forecasts outperform the ones with more optimistic outlooks. Value stocks also tend to outperform glamour stocks. I also found that previous earnings are the dominating factor in determining subsequent returns. The second essay deals with the Bid-Ask Spread (BAS) behavior of penny stocks throughout trading sessions. I ran the analysis by using different days of the week, months of the year, and analyst coverage. Finally, I regressed the minute-to-minute BAS against activity, risk, and information variables.
Disciplines
Business | Finance and Financial Management | Real Estate
License
This work is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 4.0 International License.
Recommended Citation
Rivas-Aguilar, Julio Andrés, "Penny Stocks, Market Microstructure, And Analyst Forecasts" (2012). Finance and Real Estate Dissertations. 25.
https://mavmatrix.uta.edu/financerealestate_dissertations/25
Comments
Degree granted by The University of Texas at Arlington