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.
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.