Adverse selection, volume and transactions around dividend announcements in a continuous auction system

We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyse their trading behaviour around dividend announcements of a representative sample of stocks in a continuous auction trading mechanism. the implicit bid-ask spread does not seem to change beyond what is normally conveyed through an increased number of transactions. We also document that the information in the trading behaviour of investors is primarily contained in the number of daily transactions.Publicad

Common features between stock returns and trading volume

This article tests for the existence of features shared in common by daily stock returns and trading volume contributing to the empirical analysis of the relation between those series. Using Spanish data this study analyses this hypothesis looking at features such as seasonality, skewness, kurtosis, non normality and serial correlation. This study finds that monthly seasonalities and distributional features such as skewness are driven by a common factor in stock returns and volume. This study also finds a non-synchronized comovement between the cycles of both variables.