The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks
Published: 06/01/1992 | DOI: 10.1111/j.1540-6261.1992.tb04408.x
THOMAS H. MCINISH, ROBERT A. WOOD
The behavior of time‐weighted bid–ask spreads over the trading day are examined. The plot of minute‐by‐minute spreads versus time of day has a crude reverse J‐shaped pattern. Schwartz identifies four determinants of spreads: activity, risk, information, and competition. Using a linear regression model, a significant relationship between these same factors and intraday spreads is demonstrated, but dummy variables for time of day have a reverse J‐shape. For given values of the activity, risk, information and competition measures, spreads are higher at the beginning and end of the day relative to the interior period.
Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note
Published: 03/01/1986 | DOI: 10.1111/j.1540-6261.1986.tb04507.x
THOMAS H. McINISH, ROBERT A. WOOD
This paper tests the effectiveness of techniques proposed by: Scholes‐Williams; Dimson; Fowler, Rorke, and Jog; and Cohen, Hawawini, Maier, Schwartz, and Whitcomb to control for bias in beta estimates from thin trading and price adjustment delays. Each technique produces beta estimates that reduce the amount of this bias, but the amount of reduction in the best case is only 29%.
An Investigation of Transactions Data for NYSE Stocks
Published: 07/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04996.x
ROBERT A. WOOD, THOMAS H. McINISH, J. KEITH ORD
Using transactions data, the behavior of returns and characteristics of trades at the micro level is examined. A minute‐by‐minute market return series is formed and tested for normality and autocorrelation. Evidence of differences in return distributions is found among overnight trades, trades during the first 30 minutes following the market opening, trades at the close, and trades during the remainder of the day. The latter distribution is found to be normal. Unusually high returns and standard deviations of returns are found at the beginning and the end of the trading day. When the beginning‐and end‐of‐the‐day effects are omitted, autocorrelation in the market return series is reduced substantially. A number of patterns in trading are reported.