Abstract

http://ssrn.com/abstract=2143649
 
 

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Bid-Ask Spreads around Earnings Announcements: Evidence from the NASDAQ National Market System


Douglas J. Skinner


The University of Chicago - Booth School of Business

March 31, 1993


Abstract:     
Changes in bid-ask spreads are small around earnings announcements in general. However, there is evidence of a temporary increase in bid-ask spreads at the time earnings are announced for announcements that convey the most information, especially for announcements that are late and convey bad news. Good news releases (particularly when they occur earlier than expected) are associated with a larger trading volume reaction than bad news releases, which helps to explain the differential spread effects. Overall, the evidence indicates that those announcements that generate the most ex-post uncertainty among investors are associated with the largest spread effects.

Number of Pages in PDF File: 37

Keywords: bid-ask spreads, earnings announcements

JEL Classification: M41

working papers series


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Date posted: September 8, 2012  

Suggested Citation

Skinner, Douglas J., Bid-Ask Spreads around Earnings Announcements: Evidence from the NASDAQ National Market System (March 31, 1993). Available at SSRN: http://ssrn.com/abstract=2143649 or http://dx.doi.org/10.2139/ssrn.2143649

Contact Information

Douglas J. Skinner (Contact Author)
The University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7137 (Phone)

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