The generally accepted factors that determine the bid-ask spread are volatility, trading volume and market value (<link rid="b2">Atkins and Dyl, 1997</link>; <link rid="b11">Glosten and Harris, 1988</link>; and <link rid="b22">Menyah and Paudyal, 2000</link>). Following <link rid="b19">Kim and Verrecchia (1994)</link> we include a measure of the disagreement in analysts' earnings...

Basu (1997) views earnings conservatism as being exhibited in a shift in the relationship between returns and earnings when returns are negative. The shift means that a given level of return is associated with a lower level of earnings (or alternatively, a given change in earnings is associated...