Market Microstructure and the Ex-date Return
AbstractThis article examines the role of measurement biases, due to order flow effects, in abnormal split ex-day returns. The authors conjecture that postsplit orders consist of numerous small buyers and fewer larger sellers. This change in order flow causes closing prices to occur more frequently at the ask price, consistent with M. T. Maloney and J. H. Mulherin (1992) and M. Grinblatt and D. Keim (1991). In addition, this change causes specialists' spreads to increase, perhaps to offset larger average inventories. The authors examine both NYSE and NASDAQ samples and find that order flow biases can explain approximately 80 percent (48 percent) of the NYSE (NASDAQ) ex-day return. Copyright 1994 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 49 (1994)
Issue (Month): 4 (September)
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