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Seasonalities in NYSE Bid‐Ask Spreads and Stock Returns in January
Author(s) -
CLARK ROBERT A.,
McCONNELL JOHN J.,
SINGH MANOJ
Publication year - 1992
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1992.tb04694.x
Subject(s) - stock (firearms) , ask price , bid price , econometrics , financial economics , bid–ask spread , economics , stock exchange , geography , finance , archaeology
Using end‐of‐month bid‐ask spreads for 540 NYSE stocks over the period 1982–1987, we document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross‐sectional regressions do not, however, provide evidence of a significant correlation between changes in spreads at the turn of the year and January stock returns. Either there is no cause and effect relation between the coincidental seasonals in bid‐ask spreads and January returns for NYSE stocks or the data are too “noisy” to reveal any relation.