کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069281 | 1476984 | 2017 | 6 صفحه PDF | دانلود رایگان |
- This paper investigates the relationship between earnings announcements and BHC quoted bid-ask spreads.
- The findings suggest that earnings announcements cause BHC quoted bid-ask spreads to widen.
- I argue that this is due to earnings releases increasing information asymmetry between informed traders and market makers.
This paper investigates the relationship between earnings announcements and quoted bid-ask spreads of US Bank Holding Companies (BHCs). Using a large sample of daily BHC market data, I hypothesize and find evidence of a positive relation between earnings announcements and the quoted bid-ask spread. I argue that this result is due to earnings releases helping to increase information asymmetries between informed traders and market makers.
Journal: Finance Research Letters - Volume 20, February 2017, Pages 223-228