Adverse selection, volume and transactions around dividend announcements in a continuous auction system
研究连续竞价交易机制下，股利公告前后流动性提供者是否因信息不对称风险变化而调整交易行为，发现隐性买卖价差未显著变化，交易信息主要蕴含在每日交易次数中。
Abstract We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyse their trading behaviour around dividend announcements of a representative sample of stocks in a continuous auction trading mechanism. the implicit bid‐ask spread does not seem to change beyond what is normally conveyed through an increased number of transactions. We also document that the information in the trading behaviour of investors is primarily contained in the number of daily transactions.