Publication: Adverse selection, volume, and transactions around dividend announcements in a continuous auction system
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1995
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Universidad de Deusto
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Abstract
We show that liquidily providers do nol significantly respond lo changes in information
asymmelry risks, al leasl when we analyze lheir lrading behavior around dividend
announcemenls of a representali ve sample of stocks in a continuous auction irading
mechanism. The implicit bid-ask spread does nol seem lo change beyond what is normally
conveyed through an increased number of transactions. We also document tha! ¡he
information in the trading behavior of investors is primarily contained in the number of
daily lransaclions.
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Adverse selection, Bid-ask spread, Limit orders, Dividend announcements
Bibliographic citation
Ugarte Susaeta, José Vicente; Gómez-Bezares, Fernando (coords.). III Foro de Finanzas : comunicaciones : Bilbao, 30 noviembre y 1 diciembre 1995. Vol. I. Bilbao : Universidad de Deusto, 1995, pp. 449-490