Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

Abstract

Journal Article Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis Get access Charles M. C. Lee, Charles M. C. Lee University of Michigan Address correspondence to Charles M. C. Lee, Department of Accounting, School of Business Administration, The University of Michigan, Ann Arbor, MI 48109–1234. Search for other works by this author on: Oxford Academic Google Scholar Belinda Mucklow, Belinda Mucklow University of Wisconsin Search for other works by this author on: Oxford Academic Google Scholar Mark J. Ready Mark J. Ready University of Wisconsin Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 6, Issue 2, April 1993, Pages 345–374, https://doi.org/10.1093/rfs/6.2.345 Published: 02 April 2015