메뉴 건너뛰기




Volumn 51, Issue 4, 1996, Pages 1523-1535

Earnings announcements and the components of the bid-ask spread

(2)  Krinsky, Itzhak a   Lee, Jason a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0041113416     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1996.tb04078.x     Document Type: Article
Times cited : (251)

References (25)
  • 1
    • 0002816156 scopus 로고
    • A theory of intraday patterns: Volume and price variability
    • Admati, A. R., and P. Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.
    • (1988) Review of Financial Studies , vol.1 , pp. 3-40
    • Admati, A.R.1    Pfleiderer, P.2
  • 2
    • 84993865816 scopus 로고
    • Trading mechanisms and the components of the bid-ask spread
    • Affleck-Graves, J., S. P. Hedge, and R. E. Miller, 1994, Trading mechanisms and the components of the bid-ask spread, Journal of Finance 49, 1471-1488.
    • (1994) Journal of Finance , vol.49 , pp. 1471-1488
    • Affleck-Graves, J.1    Hedge, S.P.2    Miller, R.E.3
  • 3
    • 0002920082 scopus 로고
    • The information content of annual earnings releases: A trading volume approach
    • Bamber, L., 1986, The information content of annual earnings releases: A trading volume approach, Journal of Accounting Research 24, 40-56.
    • (1986) Journal of Accounting Research , vol.24 , pp. 40-56
    • Bamber, L.1
  • 4
    • 84944836521 scopus 로고
    • Information effects on the bid-ask spread
    • Copeland, T., and D. Galai, 1983, Information effects on the bid-ask spread, Journal of Finance 38, 1457-1469.
    • (1983) Journal of Finance , vol.38 , pp. 1457-1469
    • Copeland, T.1    Galai, D.2
  • 5
    • 84977716725 scopus 로고
    • Time and the process of security price adjustment
    • Easley, D., and M. O'Hara, 1992, Time and the process of security price adjustment, Journal of Finance 47, 577-605.
    • (1992) Journal of Finance , vol.47 , pp. 577-605
    • Easley, D.1    O'Hara, M.2
  • 6
    • 0002344794 scopus 로고
    • Bootstrap methods: Another look at jackknife
    • Efron, B., 1979, Bootstrap methods: Another look at jackknife, Annals of Statistics 7, 1-26.
    • (1979) Annals of Statistics , vol.7 , pp. 1-26
    • Efron, B.1
  • 7
    • 0003242435 scopus 로고
    • The jackknife, the bootstrap, the other resampling plans
    • Monograph 38 (Society for Industrial and Applied Mathematics, Philadelphia)
    • Efron, B., 1982, The jackknife, the bootstrap, the other resampling plans, CBMSNSF Regional Conference Series in Applied Mathematics Monograph 38 (Society for Industrial and Applied Mathematics, Philadelphia).
    • (1982) CBMSNSF Regional Conference Series in Applied Mathematics
    • Efron, B.1
  • 8
    • 0000763880 scopus 로고
    • A theory of intraday variations in volumes, variances, and trading costs in securities markets
    • Foster, F. G., and S. Viswanathan, 1990, A theory of intraday variations in volumes, variances, and trading costs in securities markets, Review of Financial Studies 3, 593-624.
    • (1990) Review of Financial Studies , vol.3 , pp. 593-624
    • Foster, F.G.1    Viswanathan, S.2
  • 9
    • 84993894915 scopus 로고
    • Variation in trading volume, return volatility, and trading costs: Evidence on recent price formation models
    • Foster, F. G., and S. Viswanathan, 1993, Variation in trading volume, return volatility, and trading costs: Evidence on recent price formation models, Journal of Finance 48, 187-211.
    • (1993) Journal of Finance , vol.48 , pp. 187-211
    • Foster, F.G.1    Viswanathan, S.2
  • 10
    • 0000836177 scopus 로고
    • Estimation of the bid-ask spread and its components: A new approach
    • George, T. H., G. Kaul, and M. Nimalendran, 1991, Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, 623-656.
    • (1991) Review of Financial Studies , vol.4 , pp. 623-656
    • George, T.H.1    Kaul, G.2    Nimalendran, M.3
  • 11
  • 12
    • 0345401653 scopus 로고
    • Bid, ask, and transaction prices in specialist market with heterogeneously informed traders
    • Glosten, L. R., and P. R. Milgrom, 1985, Bid, ask, and transaction prices in specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71-100.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.R.1    Milgrom, P.R.2
  • 13
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • Harris, M., and A. Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies 6, 473-506.
    • (1993) Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 14
    • 0001913087 scopus 로고
    • Optimal dealer pricing under transaction and return uncertainty
    • Ho, T., and H. Stoll, 1981, Optimal dealer pricing under transaction and return uncertainty, Journal of Financial Economics 10, 47-74.
    • (1981) Journal of Financial Economics , vol.10 , pp. 47-74
    • Ho, T.1    Stoll, H.2
  • 15
    • 0001890588 scopus 로고
    • Market liquidity and volume around earnings announcements
    • Kim, O., and R. E. Verrecchia, 1994, Market liquidity and volume around earnings announcements, Journal of Accounting and Economics 17, 41-67.
    • (1994) Journal of Accounting and Economics , vol.17 , pp. 41-67
    • Kim, O.1    Verrecchia, R.E.2
  • 16
    • 40449085944 scopus 로고
    • Earnings news and small traders: An intraday analysis
    • Lee, C. M. C., 1992, Earnings news and small traders: An intraday analysis, Journal of Accounting and Economics 15, 265-302.
    • (1992) Journal of Accounting and Economics , vol.15 , pp. 265-302
    • Lee, C.M.C.1
  • 17
    • 3843112765 scopus 로고
    • Spreads, depths and the impact of earnings information: An intraday analysis
    • Lee, C. M. C., B. Mucklow, and M. J. Ready, 1993, Spreads, depths and the impact of earnings information: An intraday analysis, Review of Financial Studies 6, 345-374.
    • (1993) Review of Financial Studies , vol.6 , pp. 345-374
    • Lee, C.M.C.1    Mucklow, B.2    Ready, M.J.3
  • 18
    • 84977708043 scopus 로고
    • An analysis of intraday patterns in bid/ask spreads for NYSE stocks
    • McInish, T., and R. Wood, 1992, An analysis of intraday patterns in bid/ask spreads for NYSE stocks, Journal of Finance 47, 753-764.
    • (1992) Journal of Finance , vol.47 , pp. 753-764
    • McInish, T.1    Wood, R.2
  • 19
    • 0000591332 scopus 로고
    • The effect of information announcements on the market microstructure
    • Morse, D., and N. Ushman, 1983, The effect of information announcements on the market microstructure, Accounting Review 58, 247-258.
    • (1983) Accounting Review , vol.58 , pp. 247-258
    • Morse, D.1    Ushman, N.2
  • 22
    • 84977426528 scopus 로고
    • The supply of dealer services in securities markets
    • Stoll, H. R., 1978, The supply of dealer services in securities markets, Journal of Finance 33, 1133-1151.
    • (1978) Journal of Finance , vol.33 , pp. 1133-1151
    • Stoll, H.R.1
  • 23
    • 84977734744 scopus 로고
    • Inferring the components of the bid-ask spread: Theory and empirical tests
    • Stoll, H. R., 1989, Inferring the components of the bid-ask spread: Theory and empirical tests, Journal of Finance 44, 115-134.
    • (1989) Journal of Finance , vol.44 , pp. 115-134
    • Stoll, H.R.1
  • 24
    • 84956051777 scopus 로고
    • The economics of liquidity services
    • Tinic, S., 1972, The economics of liquidity services, Quarterly Journal of Economics 86, 79-93.
    • (1972) Quarterly Journal of Economics , vol.86 , pp. 79-93
    • Tinic, S.1
  • 25
    • 0039414998 scopus 로고
    • Information asymmetry and the dealer's bid-ask spread: A case study of earnings and dividend announcements
    • Venkatesh, P. C., and R. Chiang, 1986, Information asymmetry and the dealer's bid-ask spread: A case study of earnings and dividend announcements, Journal of Finance 41, 1089-1102.
    • (1986) Journal of Finance , vol.41 , pp. 1089-1102
    • Venkatesh, P.C.1    Chiang, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.