Market Microstructure and the Ex‐Date Return
研究订单流效应导致的测量偏差在股票拆分除息日异常回报中的作用，发现订单流偏差可解释纽交所约80%和纳斯达克约48%的除息日回报。
ABSTRACT This article examines the role of measurement biases, due to order flow effects, in abnormal split ex‐day returns. We conjecture that postsplit orders consist of numerous small buyers and fewer larger sellers. This change in order flow causes closing prices to occur more frequently at the ask price, consistent with Maloney and Mulherin (1992) and Grinblatt and Keim (1991) . In addition, this change causes specialists' spreads to increase, perhaps to offset larger average inventories. We examine both NYSE and NASDAQ samples and find that order flow biases can explain approximately 80 percent (48 percent) of the NYSE (NASDAQ) ex‐day return.