Article1992

Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January

32 citations0/0 files storedThe Journal of Finance

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Abstract

ABSTRACT Using end‐of‐month bid‐ask spreads for 540 NYSE stocks over the period 1982–1987, we document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross‐sectional regressions do not, however, provide evidence of a significant correlation between changes in spreads at the turn of the year and January stock returns. Either there is no cause and effect relation between the coincidental seasonals in bid‐ask spreads and January returns for NYSE stocks or the data are too “noisy” to reveal any relation.

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1981The relationship between return and market value of common stocks 1983Size-related anomalies and stock return seasonality 1976Capital market seasonality: The case of stock returns 1983The anomalous stock market behavior of small firms in January 1983Stock market seasonality 1983Transaction costs and the small firm effect 1983Transaction costs and the small firm effect 1983Vas Ist Das?

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