Economics, Econometrics and Finance
8 years ago

Stocks with large bid-ask spreads linked to 1% monthly return premium.

SSRN Electronic Journal
Maximum Bid-Ask Spreads and Expected Stock Returns
Benjamin M. Blau, Ryan J. Whitby

Paper Summary

Related papers

Business, Management and Accounting
4 years ago

Nasdaq reforms lead to lower trading costs and increased market competition.

Corporate Governance
Earnings Management
Asset Pricing
2 views
Economics, Econometrics and Finance
4 years ago

New method reveals high bid-ask bias in long-term security returns.

Asset Pricing
Oil Price Shocks
1 view
Economics, Econometrics and Finance
5 years ago

High-frequency trading strategies impact market liquidity: more traders, less liquidity.

Asset Pricing
Earnings Management
Corporate Governance
2 views

The study looked at how big differences between buying and selling prices of stocks can affect their returns. They found that stocks with the largest price differences can generate higher returns, around 1% per month. This is different from just looking at the price difference itself and holds true even when considering other factors that affect stock prices.