Acker, Daniella; Stalker, Mathew; Tonks, Ian - In: Journal of Business Finance & Accounting 29 (2002) 9&10, pp. 1149-1179
This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily inside spreads are affected by order processing costs (proxied by trading volumes),...