메뉴 건너뛰기




Volumn 32, Issue 9-10, 2005, Pages 1801-1826

Information asymmetry and the bid-ask spread: Evidence from the UK

Author keywords

Analysts' forecasts; Spread; Trading volume; Volatility of returns

Indexed keywords


EID: 29244444479     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.0306-686X.2005.00648.x     Document Type: Article
Times cited : (42)

References (31)
  • 1
    • 77951902996 scopus 로고    scopus 로고
    • Daily closing inside spreads and trading volumes around earnings announcements
    • Acker, D., M. Stalker and I. Tonks (2002), 'Daily Closing Inside Spreads and Trading Volumes Around Earnings Announcements', Journal of Business Finance & Accounting, Vol. 29, pp. 1149-79.
    • (2002) Journal of Business Finance & Accounting , vol.29 , pp. 1149-1179
    • Acker, D.1    Stalker, M.2    Tonks, I.3
  • 2
    • 0040833102 scopus 로고    scopus 로고
    • Transactions costs and holding periods for common stocks
    • Atkins, A.B. and E.A. Dyl (1997), 'Transactions Costs and Holding Periods for Common Stocks', Journal of Finance, Vol. 52, pp. 309-25.
    • (1997) Journal of Finance , vol.52 , pp. 309-325
    • Atkins, A.B.1    Dyl, E.A.2
  • 3
    • 84974487256 scopus 로고
    • Information costs and liquidity effects from changes in the dow jones industrial average
    • Beneish, M.D. and J.G. Gardner (1995), 'Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average', Journal of Financial and Quantitative Analysis, Vol. 30, pp. 135-57.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 135-157
    • Beneish, M.D.1    Gardner, J.G.2
  • 4
    • 84977386241 scopus 로고
    • The superiority of analyst forecasts as measure of expectations: Evidence from earnings
    • Brown, L.D. and M.S. Rozeff (1978), 'The Superiority of Analyst Forecasts as Measure of Expectations: Evidence from Earnings', Journal of Finance, Vol. 33, pp. 1-16.
    • (1978) Journal of Finance , vol.33 , pp. 1-16
    • Brown, L.D.1    Rozeff, M.S.2
  • 5
    • 29244483190 scopus 로고    scopus 로고
    • Intra day bid-ask spreads, trading volume and volatility: Recent empirical evidence on the London stock exchange
    • Cai, C.X., R. Hudson and K. Keasey (2004), 'Intra Day Bid-Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence on the London Stock Exchange', Journal of Business Finance & Accounting, Vol. 31, pp. 647-76.
    • (2004) Journal of Business Finance & Accounting , vol.31 , pp. 647-676
    • Cai, C.X.1    Hudson, R.2    Keasey, K.3
  • 6
    • 84936823769 scopus 로고
    • Capital market equilibrium with transactions costs
    • Constantinides, G. (1986), 'Capital Market Equilibrium with Transactions Costs', Journal of Political Economy, Vol. 94, pp. 842-62.
    • (1986) Journal of Political Economy , vol.94 , pp. 842-862
    • Constantinides, G.1
  • 7
    • 0001151119 scopus 로고
    • Analysts' forecasts, earnings variability and option pricing: Empirical evidence
    • Daley, L.A., D.W. Senkow and R.L. Vigeland (1988), 'Analysts' Forecasts, Earnings Variability and Option Pricing: Empirical Evidence', The Accounting Review, Vol. 63, pp. 563-85.
    • (1988) The Accounting Review , vol.63 , pp. 563-585
    • Daley, L.A.1    Senkow, D.W.2    Vigeland, R.L.3
  • 8
    • 0041669468 scopus 로고    scopus 로고
    • Differences of opinion and the cross section of stock returns
    • Diether, K.B., G.J. Malloy and A. Scherbina (2002), 'Differences of Opinion and the Cross Section of Stock Returns', Journal of Finance, Vol. 57, pp. 2113-41.
    • (2002) Journal of Finance , vol.57 , pp. 2113-2141
    • Diether, K.B.1    Malloy, G.J.2    Scherbina, A.3
  • 9
    • 84944837890 scopus 로고
    • An analysis of brokers' and analysts' unpublished forecasts of UK stock returns
    • Dimson, E. and P. Marsh (1984), 'An Analysis of Brokers' and Analysts' Unpublished Forecasts of UK Stock Returns', Journal of Finance, Vol. 39, pp. 1257-92.
    • (1984) Journal of Finance , vol.39 , pp. 1257-1292
    • Dimson, E.1    Marsh, P.2
  • 10
    • 84855917546 scopus 로고    scopus 로고
    • Toward deep and liquid markets: Lessons from the open and close at the London stock exchange
    • London School of Economics, Financial Markets Group
    • Ellul, A., H.S. Shin and I. Tonks (2002), 'Toward Deep and Liquid Markets: Lessons from the Open and Close at the London Stock Exchange', Working Paper (London School of Economics, Financial Markets Group).
    • (2002) Working Paper
    • Ellul, A.1    Shin, H.S.2    Tonks, I.3
  • 11
    • 38249030378 scopus 로고
    • Estimating the components of the bid/ask spread
    • Glosten, L. and L. Harris (1988), 'Estimating the Components of the Bid/Ask Spread', Journal of Financial Economics, Vol. 21, pp. 123-42.
    • (1988) Journal of Financial Economics , vol.21 , pp. 123-142
    • Glosten, L.1    Harris, L.2
  • 12
    • 29244467477 scopus 로고    scopus 로고
    • Liquidity effects due to information costs from changes in the FTSE 100 list
    • Department of Economics and Finance, Brunel University Discussion Paper, 03-02
    • Gregoriou, A. and C. Ioannidis (2003), 'Liquidity Effects Due to Information Costs from Changes in the FTSE 100 List', Working Paper (Department of Economics and Finance, Brunel University Discussion Paper, 03-02).
    • (2003) Working Paper
    • Gregoriou, A.1    Ioannidis, C.2
  • 13
    • 0000250716 scopus 로고
    • Specification tests in econometrics
    • Hausman, J. (1978), 'Specification Tests in Econometrics', Econometrica, Vol. 43, pp. 1251-71.
    • (1978) Econometrica , vol.43 , pp. 1251-1271
    • Hausman, J.1
  • 14
    • 4243088649 scopus 로고    scopus 로고
    • Evaluating the effects of incomplete markets on risk sharing and asset pricing
    • Heaten, J. and D. Lucas (1996), 'Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing', Journal of Political Economy, Vol 104, pp. 443-97.
    • (1996) Journal of Political Economy , vol.104 , pp. 443-497
    • Heaten, J.1    Lucas, D.2
  • 15
    • 35548931351 scopus 로고
    • Efficient tests for normality, heteroskedasticity and serial independence of regression residuals
    • Jarque, C.M. and A.K. Bera (1980), 'Efficient Tests for Normality, Heteroskedasticity and Serial Independence of Regression Residuals', Economics Letters, Vol. 6, pp. 255-59.
    • (1980) Economics Letters , vol.6 , pp. 255-259
    • Jarque, C.M.1    Bera, A.K.2
  • 16
    • 0002437730 scopus 로고
    • A test for normality of observations and regression residuals
    • _ _ (1987), 'A Test for Normality of Observations and Regression Residuals', International Statistical Review, Vol. 55, pp. 163-72.
    • (1987) International Statistical Review , vol.55 , pp. 163-172
  • 18
    • 0000201678 scopus 로고
    • A theory of trading volume
    • Karpoff, J.M. (1986), 'A Theory of Trading Volume', Journal of Finance, Vol. 41, pp. 1069-87.
    • (1986) Journal of Finance , vol.41 , pp. 1069-1087
    • Karpoff, J.M.1
  • 19
    • 0001890588 scopus 로고
    • Liquidity and volume around earnings announcements
    • Kim, O. and R.E. Verrecchia (1994), 'Liquidity and Volume Around Earnings Announcements', Journal of Accounting and Economics, Vol. 17, pp. 41-67.
    • (1994) Journal of Accounting and Economics , vol.17 , pp. 41-67
    • Kim, O.1    Verrecchia, R.E.2
  • 20
    • 0035486456 scopus 로고    scopus 로고
    • The relation among disclosure, returns and trading volume information
    • Kim, O. and R.E. Verrecchia (2001), 'The Relation Among Disclosure, Returns and Trading Volume Information', Accounting Review Vol. 76, pp. 633-54.
    • (2001) Accounting Review , vol.76 , pp. 633-654
    • Kim, O.1    Verrecchia, R.E.2
  • 21
    • 0041113416 scopus 로고    scopus 로고
    • Earnings announcements and the components of the bid-ask spread
    • Krinsky, K. and J. Lee (1996), 'Earnings Announcements and the Components of the Bid-Ask Spread', Journal of Finance, Vol. 51, pp. 1523-35.
    • (1996) Journal of Finance , vol.51 , pp. 1523-1535
    • Krinsky, K.1    Lee, J.2
  • 22
    • 0041412803 scopus 로고    scopus 로고
    • The components of bid-ask spreads on the London stock exchange
    • Menyah, K. and K. Paudyal (2000), 'The Components of Bid-Ask Spreads on the London Stock Exchange', Journal of Banking and Finance, Vol. 24, pp. 1767-85.
    • (2000) Journal of Banking and Finance , vol.24 , pp. 1767-1785
    • Menyah, K.1    Paudyal, K.2
  • 23
    • 84916929634 scopus 로고
    • Miller, E.M. (1977), 'Risk, Uncertainty and Divergence of Opinion', Journal of Finance, Vol. 32, pp. 1151-68.
    • (1977) Journal of Finance , vol.32 , pp. 1151-1168
    • Miller, E.M.1
  • 24
    • 0000619128 scopus 로고
    • Tests for specification errors in classical linear least squares regression analysis
    • Ramsey, J.B. (1969), 'Tests for Specification Errors in Classical Linear Least Squares Regression Analysis', Journal of the Royal Statistical Society, Vol. 31, pp. 350-71.
    • (1969) Journal of the Royal Statistical Society , vol.31 , pp. 350-371
    • Ramsey, J.B.1
  • 25
    • 84944043652 scopus 로고
    • A simple implicit measure of the effective bid-ask spread in an efficient market
    • Roll, R. (1984), 'A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market', Journal of Finance, Vol. 39, pp. 1127-40.
    • (1984) Journal of Finance , vol.39 , pp. 1127-1140
    • Roll, R.1
  • 26
    • 45149141717 scopus 로고
    • The timing of and incentives for annual earnings forecasts near interim earnings announcements
    • Stickel, S.E. (1989), 'The Timing of and Incentives for Annual Earnings Forecasts Near Interim Earnings Announcements', Journal of Accounting & Economics, Vol. 11, pp. 275-92.
    • (1989) Journal of Accounting & Economics , vol.11 , pp. 275-292
    • Stickel, S.E.1
  • 27
    • 84977734744 scopus 로고
    • Inferring the components of the bid-ask spread: Theory and empirical tests
    • Stoll, H. (1989), 'Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests', Journal of Finance, Vol. 44, pp. 115-34.
    • (1989) Journal of Finance , vol.44 , pp. 115-134
    • Stoll, H.1
  • 28
    • 0032354194 scopus 로고    scopus 로고
    • Transaction costs and asset prices: A dynamic equilibrium model
    • Vayanos, D. (1998), 'Transaction Costs and Asset Prices: A Dynamic Equilibrium Model', Review of Financial Studies, Vol. 11, pp. 1-58.
    • (1998) Review of Financial Studies , vol.11 , pp. 1-58
    • Vayanos, D.1
  • 29
    • 0039414998 scopus 로고
    • Information asymmetry and the dealer's bid-ask spread: A case study of earnings arid dividends announcements
    • Venkatesh, P.C. and R. Chiang (1986), 'Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings arid Dividends Announcements', Journal of Finance, Vol. 41, pp. 1089-102.
    • (1986) Journal of Finance , vol.41 , pp. 1089-1102
    • Venkatesh, P.C.1    Chiang, R.2
  • 30
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test of heteroskedasticity
    • White, H. (1980), 'A Heteroskedasticity-consistent Covariance Matrix Estimator and a Direct Test of Heteroskedasticity', Econometrica, Vol. 48, pp. 817-38.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1
  • 31
    • 0000060496 scopus 로고
    • Timeliness of financial reporting and financial distress
    • Whittred, G. and I. Zimmer (1984), 'Timeliness of Financial Reporting and Financial Distress', The Accounting Review Vol. 59, pp. 287-95.
    • (1984) The Accounting Review , vol.59 , pp. 287-295
    • Whittred, G.1    Zimmer, I.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.