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

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  • Harris, Terry

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.

Suggested Citation

  • Harris, Terry, 2017. "Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies," Finance Research Letters, Elsevier, vol. 20(C), pages 223-228.
    • Handle: RePEc:eee:finlet:v:20:y:2017:i:c:p:223-228
    DOI: 10.1016/j.frl.2016.10.003
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    References listed on IDEAS

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    Cited by:

    1. Feng, Wenjun & Wang, Yiming & Zhang, Zhengjun, 2018. "Informed trading in the Bitcoin market," Finance Research Letters, Elsevier, vol. 26(C), pages 63-70.
    2. Charitou, Andreas & Floropoulos, Nikolaos & Karamanou, Irene & Loizides, George, 2018. "Non-GAAP Earnings Disclosures on the Face of the Income Statement by UK Firms: The Effect on Market Liquidity," The International Journal of Accounting, Elsevier, vol. 53(3), pages 183-202.
    3. Elena V. Rozhentsova & Anastasiia D. Saltykova & Tatyana М. Devyatkova, 2021. "Unallocated Metal Accounts in Russia: Determinants of Quoted Bid-Ask Spreads," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 93-106, February.

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    More about this item

    Keywords

    Bank holding companies; Earnings announcements; Information asymmetry; Quoted bid-ask spreads;
    All these keywords.

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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