The Effect of information Announcements on the Market Microstructure.
研究信息公告与买卖价差的关系，发现季度盈利公告前后价差无显著变化，但价格大幅变动当日价差显著扩大。
Abstract This study examines the relationship between information announcements and bid/ask spreads. The results indicate no significant changes in bid/ask spreads surrounding quarterly earnings announcements, but significant increases in the size of bid/ask spreads are found on the day of large price changes.