Download or read book Adverse Selection, Volume, and Transactions Around Dividend Announcements in a Continuous Auction System written by Gonzalo Rubio and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyze their trading behavior 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 behavior of investors is primarily contained in the number of daily transactions.