Publication: Adverse selection, volume and transactions around dividend announcements in a continuous auction system
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1996
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Blackwell Publishing
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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.
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Keywords
adverse selection, bid-ask spread, limit orders, dividend announcements
Bibliographic citation
European Financial Management, 1996, vol. 2, nº 1, p. 39-67.