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An Empirical Study Of The Effect Of Short Selling On The Bid Ask Spread, A. Frino
An Empirical Study Of The Effect Of Short Selling On The Bid Ask Spread, A. Frino
Faculty of Business - Accounting & Finance Working Papers
Soon selling was legally and uniformly reintroduced in Australia in 1986. This presented the opportunity to study the effects of permitting soon selling on stock market trading. The following study aims to determine the impact of short selling on the bid ask spread and thus transaction costs. The evidence presented in this paper supports the notion that soon selling acts to reduce the size of the bid ask spread. The public policy implication is that soon selling is desirable as it acts to reduce the size of transactions costs on the stock exchange.
Earnings As An Explanatory Variable For Returns: A Note, A. Frino, G. Tibbits
Earnings As An Explanatory Variable For Returns: A Note, A. Frino, G. Tibbits
Faculty of Business - Accounting & Finance Working Papers
Easton and Harris (1991) [herein EH], in a recent article, "investigate whether the level of earnings divided by price at the beginning of the stock return period is relevant for evaluating earnings/returns associations" [p 19]. As stated by EH, the contribution of their study stems from their variable of interest, which is not the earnings-to-price ratio based on contemporaneous (past) earnings and contemporaneous (past) price which has dominated earlier studies. Despite their excellent empirical work, unfortunately, their theorising is somewhat ad hoc and they admit that for certain aspects of their theorising "we provide a more heuristic analysis" [footnote, p. …