Brattle Principal Torben Voetmann recently authored a paper
investigating the cost components of the bid-ask spread and the
changes in the spread around earnings announcements on the small
Danish stock market in the 1990s.
The paper builds on prior related analysis of larger, more
heavily traded markets, showing that stock prices typically respond
to earning announcements, and that their response can be
partitioned into positive or negative earnings surprises. The
related analysis has also established that earnings announcements
convey pricing information, providing a cost advantage to informed
investors. Dr. Voetmann notes that studying markets of smaller
sizes can be useful for improving the understanding gleaned from
the results of older studies of larger markets.
According to the paper’s findings, the changes in the
realized bid-ask spread cost components around earnings
announcements on the Danish stock market, a smaller and less active
capital market, suggest that earnings surprises convey pricing
information and significant informational asymmetry between market
makers and informed traders. Dr. Voetmann finds that the observed
changes in cost components on the small Danish stock market are
similar to those observed in larger and more active capital
markets. He also concludes that the realized bid-ask spread does
not change for positive surprise, but does increase around negative
surprises, suggesting greater information asymmetry around
unexpectedly negative earnings announcements.
The paper, “The Bid-Ask Spread in the Danish Stock Market:
Evidence from the 1990s,” was published in the
International Journal of Economics and Finance. The paper
can be downloaded here.
The content of this article is intended to provide a general
guide to the subject matter. Specialist advice should be sought
about your specific circumstances.
To print this article, all you need is to be registered on Mondaq.com.
Click to Login as an existing user or Register so you can print this article.
This article will explore existing real estate property management solutions, focusing on the top private equity real estate platforms in the marketplace, including subject matter expert's viewpoints on the existing software infrastructure.
In 2016, the French financial regulators, the ACPR and the AMF, continued to pay particular attention to infringements in matters of anti-money laundering and anti-terrorism, internal control procedures, conflicts of interest and market abuses.
As the UCITS acronym suggests, its original focus was on investment in "transferable securities" although UCITS do offer far wider investment possibilities, as explained below.
Some comments from our readers… “The articles are extremely timely and highly applicable” “I often find critical information not available elsewhere” “As in-house counsel, Mondaq’s service is of great value”
Register for Access and our Free Biweekly Alert for
This service is completely free. Access 250,000 archived articles from 100+ countries and get a personalised email twice a week covering developments (and yes, our lawyers like to think you’ve read our Disclaimer).