Detecting Abnormal Bid-Ask Spread: A Comparison of Event Study Methods

• 1 January 2000
• journal article
• Published by Springer Nature in Review of Quantitative Finance and Accounting
• Vol. 14  (1) , 45-65
• https://doi.org/10.1023/a:1008328107489

Abstract

Keywords

• TEST STATISTICS
• SPREAD METRIC
• MODEL
• EVENT
• BID
• SERIAL
• ABNORMAL
• ASK