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Detecting Abnormal Bid-Ask Spread: A Comparison of Event Study Methods · Study

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ArticleDetecting Abnormal Bid-Ask Spread: A Comparison of Event Study Methods

J. F. Affleck‐Graves2000

Article2000

Detecting Abnormal Bid-Ask Spread: A Comparison of Event Study Methods

J. F. Affleck‐Graves · Ramachandran Ramanan

23 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

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References

1985Using daily stock returns 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1980Measuring security price performance 1987Price, trade size, and information in securities markets 1968The Cost of Transacting 1983Information Effects on the Bid-Ask Spread 1994Market liquidity and volume around earnings announcements 1991Event-study methodology under conditions of event-induced variance

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Year2000

Typearticle

Published2000-01-01

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1023/a:1008328107489

openalex_workW1489531645

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