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- Title
TRANSACTION COSTS AND DAY-OF-THE-WEEK EFFECTS IN THE OTC/NASDAQ EQUITY MARKET.
- Authors
Fortin, Rich
- Abstract
A potential explanation is examined here for the observed day-of-the-week effect in equity returns-systematic daily patterns in percentage bid-ask spreads. Using OTC/ NASDAQ data over 1973-1985, strong return day-of-the-week effects are documented while mean dealer percentage spreads are essentially unchanged over the week. These results provide evidence that systematic percentage spread changes do not contribute to the observed return anomaly.
- Subjects
RATE of return; OVER-the-counter markets; TRANSACTION costs; NASDAQ Stock Market; STOCK prices; STOCK exchanges; CAPITAL market; STOCKS (Finance)
- Publication
Journal of Financial Research, 1990, Vol 13, Issue 3, p243
- ISSN
0270-2592
- Publication type
Article
- DOI
10.1111/j.1475-6803.1990.tb00554.x