Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies.

Harris, T.

Abstract

This paper investigates the relationship between earnings announcements and quoted bid-ask spreads of US Bank Holding Companies (BHCs). Using a large sample of daily BHC market data, I hypothesize and find evidence of a positive relation between earnings announcements and the quoted bid-ask spread. I argue that this result is due to earnings releases helping to increase information asymmetries between informed traders and market makers.

Citation

Harris, T. (2017). Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies. Finance Research Letters, 20, 223-228. https://doi.org/10.1016/j.frl.2016.10.003

• Journal Article Type: Article
• Acceptance Date: Oct 6, 2016
• Online Publication Date: Oct 13, 2016
• Publication Date: 2017-02
• Deposit Date: Aug 30, 2017
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Electronic ISSN: 1544-6131
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 20
• Pages: 223-228
• DOI: https://doi.org/10.1016/j.frl.2016.10.003
• Public URL: https://durham-repository.worktribe.com/output/1350563