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Evidence On The Behavior Of Bid And Ask Prices At The Turn Of The Year: Implications For The Survival Of Stock Return Seasonality

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  • Steven L. Jones
  • Winson Lee
Abstract
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Suggested Citation

  • Steven L. Jones & Winson Lee, 1995. "Evidence On The Behavior Of Bid And Ask Prices At The Turn Of The Year: Implications For The Survival Of Stock Return Seasonality," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 383-400, December.
    • Handle: RePEc:bla:jfnres:v:18:y:1995:i:4:p:383-400
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1995.tb00573.x
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    References listed on IDEAS

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    1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    2. Clark, Robert A & McConnell, John J & Singh, Manoj, 1992. "Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January," Journal of Finance, American Finance Association, vol. 47(5), pages 1999-2014, December.
    3. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    4. Fortin, Richard D. & Grube, R. Corwin & Joy, O. Maurice, 1989. "Seasonality in NASDAQ Dealer Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 395-407, September.
    5. repec:bla:jfinan:v:43:y:1988:i:3:p:701-17 is not listed on IDEAS
    6. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    7. Jones, Steven L & Lee, Winson & Apenbrink, Rudolf, 1991. "New Evidence on the January Effect before Personal Income Taxes," Journal of Finance, American Finance Association, vol. 46(5), pages 1909-1924, December.
    8. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    9. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    10. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    11. repec:bla:jfinan:v:44:y:1989:i:1:p:149-66 is not listed on IDEAS
    12. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
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    Cited by:

    1. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
    2. Kenneth Beller & John R. Nofsinger, 1998. "On Stock Return Seasonality And Conditional Heteroskedasticity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 229-246, June.

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