... Daley, Hughes, and Rayburn (1991) define the preannouncement period as days -2 to -6 and the postannounce-ment period as days +l to +5.355Spreads, Depths, and the Impact of Earnings Information Table ... The mean and median quoted spread are both $0.25. The mean and median effective spread are $0.18 and $0.14, respectively.Many trades occur within the bid-ask spread, so the mean and medianeffective ... document intraday patterns In spreads and volume [e.g., Brock and Kleidon (1992),Brown, Clinch, and Foster (1991), and McInish and Wood (1992)].360Spreads, Depths, and the Impact of Earnings Information Half-Hour...