Journal of Financial Intermediation Vol. 4 No. 2 1995
Short-Horizon Return Reversals and the Bid-Ask Spread
Abstract
We show that the pattern of short-term negative serial covariances for stock returns over different return measurement intervals is consistent with the implications of inventory-based microstructure models. We develop different testable implications of these models and document supporting evidence. Our findings indicate that to a large extent the short-horizon return revearsals can be explained by dealer-inventory-related market microstructure effects. Journal of Economic Literature Classification Numbers: G14, G20.
- DOI
- 10.1006/jfin.1995.1006
- Volume
- 4
- Issue
- 2
- Pages
- 116-132
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref