Earnings announcements and the components of the bid-ask spread

• 成果类型: Article
• 署名作者: Krinsky, I; Lee, J
• 署名单位: New York University; Hong Kong Polytechnic University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329403
• 发表日期: 1996
• 页码: 1523-1535
• 关键词: SECURITIES MARKETS; INTRADAY ANALYSIS; trading volume; INFORMATION; traders; COSTS

摘要

This study investigates the behavior of the components of the bid-ask spread around earnings announcements. We find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly decline during the same periods. Our results suggest that the directional change in the total bid-ask spread depends on the relative magnitudes of the changes in these three components. Specifically, the decreases in inventory holding costs and order processing costs imply that earnings announcements may have an insignificant impact on the total bid-ask spread, even when they result in increased information asymmetry.