Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies

Terry Harris

Finance Research Letters, 2017, vol. 20, issue C, 223-228

Abstract: This paper investigates the relationship between earnings announcements and quoted bid-ask spreads of US Bank Holding Companies (BHCs). Using a large sample of daily BHC market data, I hypothesize and find evidence of a positive relation between earnings announcements and the quoted bid-ask spread. I argue that this result is due to earnings releases helping to increase information asymmetries between informed traders and market makers.

Keywords: Bank holding companies; Earnings announcements; Information asymmetry; Quoted bid-ask spreads (search for similar items in EconPapers)
JEL-codes: D82 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:20:y:2017:i:c:p:223-228

DOI: 10.1016/j.frl.2016.10.003

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