An Investigation of Market Microstructure Impacts on Event Study Returns
研究了买卖价差导致的偏差对事件日收益率的影响，以纽交所上市公司增发为例，发现发行日显著的负向收益率偏差解释了文献中大部分负向事件日收益率，并建议在订单流不平衡时使用买卖报价中点收益率。
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.