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Management Science Letters

ISSN 1923-9343 (Online) - ISSN 1923-9335 (Print)
Quarterly Publication
Volume 5 Issue 8 pp. 739-742 , 2015

The effects of spread on abnormal return: Evidence from Tehran Stock Exchange Pages 739-742 Right click to download the paper Download PDF

Authors: Samira Vafaee, Roya Darabi

DOI: 10.5267/j.msl.2015.6.004

Keywords: Spread, Stock return, Tehran Stock Exchange

Abstract: Spread plays essential role on market liquidity on any stock market. A high gap between bid and ask price may reduce the likelihood of trading activities while a small gap between bid and ask increases the chance of trade execution. In this paper, we present an empirical investigation on the effect of spread on abnormal return. The proposed study collects the necessary information from official statements as well as historical data over the period 2009-2013 reported on Tehran Stock Exchange to examine the relationship between spread and unusual firm performance. Using regression analysis, the study has determined a meaningful relationship between abnormal return and spread.

How to cite this paper
Vafaee, S & Darabi, R. (2015). The effects of spread on abnormal return: Evidence from Tehran Stock Exchange.Management Science Letters , 5(8), 739-742.

Refrences
Amihud, Y., & Mendelson, H. (1986). Liquidity and stock returns. Financial Analysts Journal, 42(3), 43-48.

Amihud, Y., & Mendelson, H. (1989). The effects of beta, bid-ask spread, residual risk, and size on stock returns. Journal of Finance, 479-486.

Desai, A. S., Nimalendran, M., & Venkataraman, S. (1998). Changes in trading activity following stock splits and their effect on volatility and the adverse?information component of the bid?ask spread. Journal of Financial Research,21(2), 159-183.

Demirovic, A., Tucker, J., & Guermat, C. (2015). Accounting data and the credit spread: An empirical investigation. Research in International Business and Finance, 34, 233-250.

Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94(1), 150-169.

Glosten, L. R., & Harris, L. E. (1988). Estimating the components of the bid/ask spread. Journal of financial Economics, 21(1), 123-142.

Mishra, S., Rowe, W., Prakash, A., & Ghosh, D. K. (2009). Spread behavior around board meetings for firms with concentrated insider ownership. Journal of Financial Markets, 12(4), 592-610.

Perrakis, S., & Zhong, R. (2015). Credit spreads and state-dependent volatility: Theory and empirical evidence. Journal of Banking & Finance, 55, 215-231.

Weber, K., Davis, G. F., & Lounsbury, M. (2009). Policy as myth and ceremony? The global spread of stock exchanges, 1980–2005. Academy of Management Journal, 52(6), 1319-1347.
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Journal: Management Science Letters | Year: 2015 | Volume: 5 | Issue: 8 | Views: 1780 | Reviews: 0

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