Earning Announcements and the Components of the Bid-Ask Aspread

I. Krinsky and J. Lee

Quantitative Studies in Economics and Population Research Reports from McMaster University

Abstract: This study investigates the behaviour of the components of the bid-ask spread around earnings announcements. We find that adverse selection cost component significantly increases surrounding the announcements while the inventory holding and order processing components significantly decline during the same periods.

Keywords: BIDDING; INFORMATION (search for similar items in EconPapers)
JEL-codes: D44 D81 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1996
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Citations: View citations in EconPapers (117)

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Persistent link: https://EconPapers.repec.org/RePEc:mcm:qseprr:313

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