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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/7301
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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: | Blackwell Publishing |
| Issued date: | 1996 |
| Citation: | European Financial Management, 1996, vol. 2, nº 1, p. 39-67. |
| URI: | http://hdl.handle.net/10016/7301 |
| ISSN: | 1354-7798 |
| DOI: | http://dx.doi.org/10.1111/j.1468-036X.1996.tb00028.x |
| Abstract: | We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyse their trading behaviour around dividend announcements of a representative sample of stocks in a continuous auction trading mechanism. the implicit bid-ask spread does not seem to change beyond what is normally conveyed through an increased number of transactions. We also document that the information in the trading behaviour of investors is primarily contained in the number of daily transactions. |
| Review: | PeerReviewed |
| Publisher version: | http://dx.doi.org/10.1111/j.1468-036X.1996.tb00028.x |
| Keywords: | adverse selection
bid-ask spread
limit orders
dividend announcements |
| JEL Classification: | G14 |
| Appears in Collections: | DEE - Artículos de Revistas
Economists Online
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