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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/14159
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| Title: | Adverse selection, volume, and transactions around dividend announcements in a continuous auction system |
| Author(s): | Rubio, Gonzalo
Tapia, Mikel [mtapia] |
| Publisher: | Universidad de Deusto |
| Issued date: | 1995 |
| 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 |
| URI: | http://hdl.handle.net/10016/14159 |
| 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. |
| Keywords: | Adverse selection
Bid-ask spread
Limit orders
Dividend announcements |
| Appears in Collections: | Economists Online
DEE - Capítulos de Monografías
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