Earning Announcements and the Components of the Bid-Ask Aspread
AbstractThis 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.
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Bibliographic InfoPaper provided by McMaster University in its series Quantitative Studies in Economics and Population Research Reports with number 313.
Length: 23 pages
Date of creation: 1996
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