Seasonalities in NYSE Bid‐Ask Spreads and Stock Returns in January
研究1982-1987年540只NYSE股票的月末买卖价差，发现12月底到1月底价差下降，但价差变化与一月股票收益无显著相关。
ABSTRACT Using end‐of‐month bid‐ask spreads for 540 NYSE stocks over the period 1982–1987, we document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross‐sectional regressions do not, however, provide evidence of a significant correlation between changes in spreads at the turn of the year and January stock returns. Either there is no cause and effect relation between the coincidental seasonals in bid‐ask spreads and January returns for NYSE stocks or the data are too “noisy” to reveal any relation.