Abstract

http://ssrn.com/abstract=891134
 
 

References (13)



 


 



Is the Quote Midpoint the Right Point? Empirical Evidence of the Asymmetry of the Effective Spread


Pankaj K. Jain


University of Memphis - Fogelman College of Business and Economics

Robert H. Jennings


Indiana University - Kelley School of Business

James E Upson


University of Memphis - Fogelman College of Business and Economics

March 2006


Abstract:     
We use the TORQ and SOD data sets to evaluate the impact of general market sentiment and recent stock specific returns on the effective spread and the accuracy of the Lee and Ready (1991) trade classification algorithm. We identify economically and statistically significant asymmetry in effective spreads, which is positively correlated to market sentiment and recent stock return. The accuracy of the Lee and Ready inference varies with market sentiment and with recent individual stock returns. Buy inferences are more accurate during up markets and sell inferences are more accurate during down markets.

Number of Pages in PDF File: 25

Keywords: Effective Spreads, Market Microstructure, TORQ, SOD, midpoint

JEL Classification: G10, G24

working papers series


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Date posted: March 16, 2006  

Suggested Citation

Jain, Pankaj K. and Jennings, Robert H. and Upson, James E, Is the Quote Midpoint the Right Point? Empirical Evidence of the Asymmetry of the Effective Spread (March 2006). Available at SSRN: http://ssrn.com/abstract=891134 or http://dx.doi.org/10.2139/ssrn.891134

Contact Information

Pankaj K. Jain
University of Memphis - Fogelman College of Business and Economics ( email )
Memphis, TN 38152
United States
Robert H. Jennings
Indiana University - Kelley School of Business ( email )
1309 East Tenth Street
Bloomington, IN 47405-1701
United States
812-855-2696 (Phone)
812-855-5875 (Fax)
James E Upson (Contact Author)
University of Memphis - Fogelman College of Business and Economics ( email )
Memphis, TN 38152
United States
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