Dealers' Adverse Selection Costs and the Evaluation of Alternative Measures of the Earnings Release Signal

David L Senteney

The Financial Review, 1990, vol. 25, issue 2, 199-209

Abstract: This study investigates the relationship between over-the-counter dealers' adverse selection costs and alternative measures of the earnings release signal to evaluate the quality of the signal. The measure of the earnings release signal most associated with dealers' adverse selection costs is suggested as being the least noisy measure of the information impounded in security prices during earnings release periods. The results suggest that the seasonal Box-Jenkins earnings expectation model, known as the Brown-Rozeff "premier" model, generates the signal most consistent with the information impounded in security prices during earnings release periods. Copyright 1990 by MIT Press.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:25:y:1990:i:2:p:199-209

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