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- W3123274776 abstract "We investigate the importance of bid-ask spread induced biases on event date returns as exemplified by seasoned equity offerings by NYSE listed firms. We document significant negative return biases on the offering day which explain a large portion of the negative event date return documented in the literature. Buy/sell order flow imbalance is prominent around the offering and induces a relatively large spread bias. If order imbalances are suspected, the researcher can use returns calculated from the midpoint of the closing bid and ask quotes, instead of returns calculated from closing transaction prices, to avoid this return bias." @default.
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- W3123274776 date "1991-09-01" @default.
- W3123274776 modified "2023-10-06" @default.
- W3123274776 title "An Investigation of Market Microstructure Impacts on Event Study Returns" @default.
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- W3123274776 doi "https://doi.org/10.2307/2328870" @default.
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