Ravi, Rahul; Hong, Youna - In: Review of Accounting and Finance 14 (2015) 2, pp. 106-127
Purpose – This study aims to explore information asymmetry (IA) (as measured by the adverse selection component of the bid-ask spread) around S&P 500 revisions. Design/methodology/approach – The authors use adverse selection cost of trading measures to examine the effects of S&P 500 index...