Adverse selection, volume and transactions around dividend announcements in a continuous auction system

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dc.contributor.author Rubio, Gonzalo
dc.contributor.author Tapia Torres, Miguel Ángel
dc.date.accessioned 2010-03-12T11:32:08Z
dc.date.available 2010-03-12T11:32:08Z
dc.date.issued 1996
dc.identifier.bibliographicCitation European Financial Management, 1996, vol. 2, nº 1, p. 39-67.
dc.identifier.issn 1354-7798
dc.identifier.uri http://hdl.handle.net/10016/7301
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Blackwell Publishing
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other adverse selection
dc.subject.other bid-ask spread
dc.subject.other limit orders
dc.subject.other dividend announcements
dc.title Adverse selection, volume and transactions around dividend announcements in a continuous auction system
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1111/j.1468-036X.1996.tb00028.x
dc.subject.jel G14
dc.subject.eciencia Empresa
dc.identifier.doi 10.1111/j.1468-036X.1996.tb00028.x
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 39
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 67
dc.identifier.publicationtitle European Financial Management
dc.identifier.publicationvolume 2
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