The Speed of the Market Response to Earnings Announcements and the Bid-Ask Spread: An Empirical Study

It is hypothesized that cross-sectional differences in the speed of the market response to an earnings announcement are positively related to the precision of the information contained in the announcement. The bid-ask spread is used as a proxy for the precision of the information contained in the earnings announcement, since Glosten and Milgrom (1985) provides theoretical support for the use of the bid-ask spread as a proxy for precision.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Accountancy

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Noland, Thomas Rodney

Contributors dc:contributor

• Ziebart, David A.

• Business Administration, Accounting
• Economics, Finance

Identifier

(UMI)AAI9305638

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/72561