An Investigation of Market Microstructure Impacts on Event Study Returns
研究买卖价差导致的偏差如何影响事件日收益率，以纽交所上市公司增发新股为例，发现发行日显著的负向收益率偏差主要源于订单流不平衡引起的价差偏差，建议使用买卖报价中点收益率来避免偏差。
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.