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- W2007681184 abstract "This paper examines the determinants of bid-ask spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily spreads are affected by order processing costs (proxied by trading volumes), inventory control costs (trading volumes and return variability) and asymmetric information (unusually high trading volumes). Spreads start to narrow 15 days before an earnings announcement, and narrow further by the end of the announcement day. We also identify a puzzling phenomenon. There is only a 'sluggish' recovery of spreads after the announcement: spreads continue to remain at relatively narrow levels, and take up to 90 days to recover to their pre-announcement width." @default.
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- W2007681184 date "2001-01-01" @default.
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- W2007681184 title "Bid-Ask Spreads Around Earnings Announcements" @default.
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- W2007681184 doi "https://doi.org/10.2139/ssrn.253047" @default.
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