Earnings Announcements and the Components of the Bid‐Ask Spread
研究盈利公告前后买卖价差各成分的变化，发现逆向选择成本显著上升，而存货持有和订单处理成本下降，总价差变化取决于三者相对大小。
ABSTRACT This study investigates the behavior of the components of the bid‐ask spread around earnings announcements. We find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly decline during the same periods. Our results suggest that the directional change in the total bid‐ask spread depends on the relative magnitudes of the changes in these three components. Specifically, the decreases in inventory holding costs and order processing costs imply that earnings announcements may have an insignificant impact on the total bid‐ask spread, even when they result in increased information asymmetry.