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Lee, Mucklow And Ready-Spreads, Depths, And The Impact Of Earnings Information - An Intraday Anal - مرجع آموزش بازار بورس و فارکس
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Lee, Mucklow And Ready-Spreads, Depths, And The Impact Of Earnings Information – An Intraday Anal

Lee, Mucklow And Ready-Spreads, Depths, And The Impact Of Earnings Information – An Intraday Anal

Lee, Mucklow And Ready-Spreads, Depths, And The Impact Of Earnings Information – An Intraday Anal

For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation of earnings announcements; these effects are more pronounced for announcements with larger subsequent price changes. Spreads are also wider following […]

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Lee, Mucklow And Ready-Spreads, Depths, And The Impact Of Earnings Information - An Intraday Anal

For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation of earnings announcements; these effects are more pronounced for announcements with larger subsequent price changes. Spreads are also wider following earnings announcements, but this effect dissipates quickly after controlling for volume. Collectively, our results suggest liquidity providers are sensitive to changes in information asymmetry risk and use both spreads and depths to actively manage this risk. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies...

     

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  • عنوان مقاله : Lee, Mucklow And Ready-Spreads, Depths, And
  • نوع فایل : PDF
  • حجم فایل : 170 کیلوبایت

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