Using end-of-month bid-ask spreads for 540 NYSE stocks over the period 1982-87, the authors document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross-sectional regressions do not, however, provide evidence of a significant correlation between changes in spreads at the turn of the year and January stock returns. Either there is no cause and effect relation between the coincidental seasonals in bid-ask spreads and January returns for NYSE stocks or the data are too "noisy" to reveal any relation. Copyright 1992 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 47 (1992) Issue (Month): 5 (December) Pages: 1999-2014 Download reference. The following formats are available: HTML
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