Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation of earnings announcements; these effects are more pronounced for announcements with larger subsequen...
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| Veröffentlicht in: | The Review of financial studies 1993-01, Vol.6 (2), p.345-374 |
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| container_title | The Review of financial studies |
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| creator | Charles M. C. Lee Mucklow, Belinda Ready, Mark J. |
| description | For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation of earnings announcements; these effects are more pronounced for announcements with larger subsequent price changes. Spreads are also wider following earnings announcements, but this effect dissipates quickly after controlling for volume. Collectively, our results suggest liquidity providers are sensitive to changes in information asymmetry risk and use both spreads and depths to actively manage this risk. |
| doi_str_mv | 10.1093/rfs/6.2.345 |
| format | Article |
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C. Lee</au><au>Mucklow, Belinda</au><au>Ready, Mark J.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis</atitle><jtitle>The Review of financial studies</jtitle><date>1993-01-01</date><risdate>1993</risdate><volume>6</volume><issue>2</issue><spage>345</spage><epage>374</epage><pages>345-374</pages><issn>0893-9454</issn><eissn>1465-7368</eissn><abstract>For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation of earnings announcements; these effects are more pronounced for announcements with larger subsequent price changes. Spreads are also wider following earnings announcements, but this effect dissipates quickly after controlling for volume. 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| fulltext | fulltext |
| identifier | ISSN: 0893-9454 |
| ispartof | The Review of financial studies, 1993-01, Vol.6 (2), p.345-374 |
| issn | 0893-9454 1465-7368 |
| language | eng |
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| source | Business Source Complete; Oxford University Press Journals Digital Archive Legacy; Periodicals Index Online; Jstor Complete Legacy |
| subjects | Arithmetic mean Asymmetric information Asymmetry Earnings Information asymmetry Liquidity Liquidity risk Market prices Modeling Prices Stock exchanges Stock returns Time series Trade Trade specialization |
| title | Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis |
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