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 […]