Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/an-investigation-of-market-microstructure-impacts-on-event-study-tlyb1wC3jq
References (34)
-
(1987)
Liquidity of Equity Options Traded on the CBOE, Analysis of the Bid-Ask Spread and the Price and Information Effects of Trading Volume. -
(1986)
conjecture that a serious stock return bias can be induced by closing prices moving systematically toward bid quotes on a common information event -
N. Dopuch, Robert Holthausen, R. Leftwich (1986)
Abnormal stock returns associated with media disclosures of ‘subject to’ qualified audit opinionsJournal of Accounting and Economics, 8
-
(1983)
find evidence that spreads are a partial explanation for the small firm effect, while Blume-Stambaugh (1983) show that bid-ask spreads can bias stock cumulative returns -
A. Hess, Sanjai Bhagat (1986)
Size Effects of Seasoned Stock Issues: Empirical EvidenceThe Journal of Business, 59
-
James Ohlson, S. Penman (1985)
Volatility increases subsequent to stock splits: An empirical aberrationJournal of Financial Economics, 14
-
W. Mikkelson, M. Partch (1988)
Withdrawn Security OfferingsJournal of Financial and Quantitative Analysis, 23
-
Sample criteria (5) -(7) disqualified 4, 12, and 11 events, respectively -
Robert Holthausen, R. Leftwich, D. Mayers (1987)
The effect of large block transactions on security prices: A cross-sectional analysisJournal of Financial Economics, 19
-
(1990)
On the Timing of New Equity Issues: Theory and Evidence -
W. Mikkelson, M. Partch (1986)
Valuation effects of security offerings and the issuance processJournal of Financial Economics, 15
-
L. Harris (1989)
A Day-End Transaction Price AnomalyJournal of Financial and Quantitative Analysis, 24
-
Sanjai Bhagat, P. Frost (1986)
Issuing costs to existing shareholders in competitive and negotiated underwritten public utility equity offeringsJournal of Financial Economics, 15
-
Possible reasons for the insignificant negative returns on the offering date for utilities are discussed later -
Michael Barclay, R. Litzenberger (1988)
Announcement effects of new equity issues and the use of intraday price dataJournal of Financial Economics, 21
-
Josef Lakonishok, Theo Vermaelen (1986)
Tax-induced trading around ex-dividend daysJournal of Financial Economics, 16
-
Donald Keim (1989)
Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning pointsJournal of Financial Economics, 25
-
H. Stoll, R. Whaley (1983)
Transaction costs and the small firm effectJournal of Financial Economics, 12
-
(1984)
Volume, Price and Rate of Return for Active and Inactive Stocks with Applications to Turn-of-the-Year Behavior. -
David Porter (1992)
The Probability of a Trade at the Ask: An Examination of Interday and Intraday BehaviorJournal of Financial and Quantitative Analysis, 27
-
We separately analyzed this subsample to ensure the empirical validity of this operating assumption. No evidence was found to invalidate the assumption -
M. Blume, R. Stambaugh (1983)
BIASES IN COMPUTED RETURNS An Application to the Size EffectJournal of Financial Economics, 12
-
We observe a significant cumulative abnormal return run-down prior to the offering day. For this reason -
S. Phillips, Clifford Smith (1980)
Trading costs for listed options: The implications for market efficiencyJournal of Financial Economics, 8
-
(1986)
Equity Issues and Stock Price Dilution. -
H. White (1980)
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 48
-
(1986)
For the full sample, the market-adjusted announcement return is -1.37 percent and is significantly less than the post-offer comparison period mean return at the 0.01 level using all of the same tests -
(1981)
Market-Adjusted Average Returns for the 21-Days Surrounding the Offering Date of Seasoned Equity Issues for the Full Sample over the 1981-83 Period -
Mark Grinblatt, Ronald Masulis, S. Titman (1984)
The Valuation Effects of Stock Splits and Stock DividendsIO: Empirical Studies of Firms & Markets
-
Ashok Korwar, Ronald Masulis (1986)
Seasoned Equity Offerings: An Empirical InvestigationCapital Markets: Market Efficiency
-
Randolph Beatty, J. Ritter (1986)
INVESTMENT BANKING, REPUTATION, AND THE UNDERPRICING OF INITIAL PUBLIC OFFERINGS*Journal of Financial Economics, 15
-
Josef Lakonishok, S. Smidt (1984)
Volume and turn-of-the-year behaviorJournal of Financial Economics, 13
-
Not all buy orders will shift to the primary market because of possible oversubscription and longer delivery times; in the secondary market five business day delivery is normal -
(1984)
Corporate Financing and Investment Decisions When Firms Have Information Investors Do Not Have.
- Publisher
- Wiley
- Copyright
- 1991 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1991.tb04629.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT We investigate the importance of bid‐ask spread‐induced biases on event date returns as exemplified by seasoned equity offerings by NYSE listed firms. We document significant negative return biases on the offering day which explain a large portion of the negative event date return documented in the literature. Buy‐sell order flow imbalance is prominent around the offering and induces a relatively large spread bias. If order imbalances are suspected, the researcher can use returns calculated from the midpoint of the closing bid and ask quotes instead of returns calculated from closing transaction prices to avoid this return bias.
Journal
The Journal of Finance – Wiley
Published: Sep 1, 1991