Order Aggressiveness as a Metric to Assess the Usefulness of Accounting Information

The International Journal of Accounting, Vol. 45, pp. 306–333, 2010

Posted: 5 May 2008 Last revised: 28 Nov 2013

See all articles by Pietro Perotti

Pietro Perotti

University of Bath - School of Management

Date Written: December 1, 2009

Abstract

Motivated by the availability of high frequency data on trading activity, this paper proposes to use order aggressiveness as a metric to evaluate the usefulness of accounting information. I test, through an analysis of order aggressiveness, whether earnings announcements of firms listed on the Italian Stock Exchange limit order book have information content. I estimate an ordered probit relating order aggressiveness to unexpected earnings and to three market determinants of aggressiveness. Consistent with the theory on the choice between limit and market orders, I find that order aggressiveness increases with the absolute value of unexpected earnings. The results provide evidence on the extent to which the information contained in earnings is used by traders.

Keywords: Decision usefulness metrics, Disclosure of accounting information, Traders' strategies

JEL Classification: M41, G14

Suggested Citation

Perotti, Pietro, Order Aggressiveness as a Metric to Assess the Usefulness of Accounting Information (December 1, 2009). The International Journal of Accounting, Vol. 45, pp. 306–333, 2010. Available at SSRN: https://ssrn.com/abstract=1129251

Pietro Perotti (Contact Author)

University of Bath - School of Management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

HOME PAGE: http://www.bath.ac.uk/management/faculty/pietro-perotti.html

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