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...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	The Review of financial studies 1993-01, Vol.6 (2), p.345-374
Hauptverfasser:	Charles M. C. Lee, Mucklow, Belinda, Ready, Mark J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Arithmetic mean Asymmetric information Asymmetry Earnings Information asymmetry Liquidity Liquidity risk Market prices Modeling Prices Stock exchanges Stock returns Time series Trade Trade specialization
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!