Clark, Robert A; McConnell, John J; Singh, Manoj - In: Journal of Finance 47 (1992) 5, pp. 1999-2014
Using end-of-month bid-ask spreads for 540 NYSE stocks over the period 1982-87, the authors document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross-sectional regressions do not, however, provide evidence...