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University of Vermont, Purdue University, and Boston College, respectively. We thank Omesh Kini, William Kracaw, and Nejat Seyhun for helpful comments on this paper. The paper also has benefited from presentations at Texas Christian University, The University of Oklahoma, Notre Dame University, and Dartmouth College.
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Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January
Article first published online: 30 APR 2012
DOI: 10.1111/j.1540-6261.1992.tb04694.x
1992 The American Finance Association
Additional Information
How to Cite
CLARK, R. A., McCONNELL, J. J. and SINGH, M. (1992), Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January. The Journal of Finance, 47: 1999–2014. doi: 10.1111/j.1540-6261.1992.tb04694.x
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University of Vermont, Purdue University, and Boston College, respectively. We thank Omesh Kini, William Kracaw, and Nejat Seyhun for helpful comments on this paper. The paper also has benefited from presentations at Texas Christian University, The University of Oklahoma, Notre Dame University, and Dartmouth College.
Publication History
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
- Abstract
- References
- Cited By
ABSTRACT
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.