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Detecting Abnormal Bid-Ask Spread: A Comparison of Event Study Methods
16 references·1 citing·36 second hop
Detecting Abnormal Bid-Ask Spread: A Comparison of Event Study Methods (2000)Detecting Abnormal Bid-Ask Spread: A Comp…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…A nonparametric test for abnormal security-price performance in event studies (1989)A nonparametric test for abno…Estimating the components of the bid/ask spread (1988)Estimating the components of …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Using daily stock returns (1985)Using daily stock returnsOptimal Release of Information By Firms (1985)Optimal Release of Informatio…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Measuring security price performance (1980)Measuring security price perf…Dealership market (1980)Dealership marketTHE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Corporate Forecasts of Earnin…The Cost of Transacting (1968)The Cost of TransactingDo Investors Trade around Social Rating Announcements? (2015)Do Investors Trade around Soc…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Continuous Auctions and Insider Trading (1985)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Event Study Methodology Since 1969 (1998)The Adjustment of Stock Prices to New Information (2003)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Earnings Management During Import Relief Investigations (1991)Event Studies in Economics and Finance (1997)Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)
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References

  • 1985Using daily stock returns6,497 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980Measuring security price performance3,330 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test1,749 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1985Optimal Release of Information By Firms1,105 cited
  • 1989A nonparametric test for abnormal security-price performance in event studies1,077 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited

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Dealership market
965 cited

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