IDEAS home Printed from https://ideas.repec.org/a/bla/finrev/v25y1990i2p199-209.html
   My bibliography  Save this article

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

Author

Listed:
  • Senteney, David L

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.

Suggested Citation

  • Senteney, David L, 1990. "Dealers' Adverse Selection Costs and the Evaluation of Alternative Measures of the Earnings Release Signal," The Financial Review, Eastern Finance Association, vol. 25(2), pages 199-209, May.
    • Handle: RePEc:bla:finrev:v:25:y:1990:i:2:p:199-209
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:25:y:1990:i:2:p:199-209. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/efaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.