Affleck-Graves, John; Callahan, Carolyn M; Ramanan, … - In: Review of Quantitative Finance and Accounting 14 (2000) 1, pp. 45-65
This study examines empirical issues associated with the use of bid-ask spreads in event studies. The simulation results indicate that the distribution of average standardized abnormal spread shows little deviation from normality. Simulation results also indicate that the widely used percent...
