Bid-Ask Spreads around Earnings Announcements: Evidence from the NASDAQ National Market System

Bid - Ask Spreads Around

This paper examines the determinants of bid-ask spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily spreads are affected by order processing costs (proxied by trading volumes), inventory control costs (trading volumes and return variability) and asymmetric information (unusually high tradin...

Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets

Copyright 2009 by Julieta Frank and Philip Garcia. All rights reserved. Readers may make verbatim copies of this document for non‐commercial purposes by any means, provided that this copyright notice appears on all such copies. Abstract Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often bi...

Bid - Ask Spreads in Commodity Futures Markets

Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bi...

Bid Ask Spreads and Market Microstructure: Are narrow spreads always feasible? Very Preliminary Draft

This paper describes a simple example of an institution that can maintain narrow bid ask spreads even in a market for a security where an uninformed specialist frequently trades with investors who have private information about the security’s value.

The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30