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TRANSACTION COSTS AND DAY‐OF‐THE‐WEEK EFFECTS IN THE OTC/NASDAQ EQUITY MARKET
Author(s) -
Fortin Rich
Publication year - 1990
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1990.tb00554.x
Subject(s) - names of the days of the week , equity (law) , transaction cost , business , economics , monetary economics , financial economics , finance , philosophy , linguistics , political science , law
A potential explanation is examined here for the observed day‐of‐the‐week effect in equity returns—systematic daily patterns in percentage bid‐ask spreads. Using OTC/NASDAQ data over 1973–1985, strong return day‐of‐the‐week effects are documented while mean dealer percentage spreads are essentially unchanged over the week. These results provide evidence that systematic percentage spread changes do not contribute to the observed return anomaly.