Adverse Selection, Volume, and Transactions Around Dividend Announcements in a Continuous Auction System

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996

Posted: 29 Jun 1998

See all articles by Gonzalo Rubio

Gonzalo Rubio

University of the Basque Country - Department of Foundations of Economic Analysis I

Mikel Tapia

University of the Basque Country

Abstract

We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyze their trading behavior around dividend announcements of a representative sample of stocks in a continuous auction trading mechanism. The implicit bid-ask spread does not seem to change beyond what is normally conveyed through an increased number of transactions. We also document that the information in the trading behavior of investors is primarily contained in the number of daily transactions.

JEL Classification: G14

Suggested Citation

Rubio, Gonzalo A. and Tapia, Mikel, Adverse Selection, Volume, and Transactions Around Dividend Announcements in a Continuous Auction System. EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996, Available at SSRN: https://ssrn.com/abstract=7461

Gonzalo A. Rubio (Contact Author)

University of the Basque Country - Department of Foundations of Economic Analysis I ( email )

Avda. Lehendakari Aguirre 83
Bilbao, Vizcaya 48015 48015
Spain
+34 94 601 3770 (Phone)
+34 94 601 3774 (Fax)

Mikel Tapia

University of the Basque Country

Faculty of Economics
Bilbao 48015
Spain

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