Insider trading and the bid-ask spread

Financial Review

Volumn 33, Issue 3, 1998, Pages 1-20

  Chung, Kee H ^a   Charoenwong, Charlie ^b  

^a UNIVERSITY OF MEMPHIS   (United States)

^b CHULALONGKORN UNIVERSITY   (Thailand)

Author keywords

Bid ask spread; Insider trading

Indexed keywords

EID: 0042072515     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.1998.tb01379.x     Document Type: Article

References (30)

1. Amihud, Y., and H. Mendelson., 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-250.
2. Barclay, M., and C. Smith., 1988. Corporate payout policy: Cash dividends versus open-market repurchases, Journal of Financial Economics 22, 61-82.
3. Benston, G., and R. Hagerman., 1974. Determinants of bid-asked spreads in the over-the-counter market, Journal of Financial Economics 1, 353-364.
4. Branch, B., and W. Freed., 1977. Bid-asked spreads on the AMEX and the big board, Journal of Finance 32, 159-163.
5. Chiang, R., and P. Venkatesh., 1988. Insider holdings and perceptions of information asymmetry: A note, Journal of Finance 43, 1041-1048.
6. Ciscel, D., and T. Carroll., 1980. The determinants of executive salaries: An econometric survey Review of Economics and Statistics 62, 713.
7. Cochrane, D., and G. Orcutt., 1949. Application of least squares regressions to relationships containing autocorrelated error terms, Journal of the American Statistical Association 44, 32-61.
8. Conrad, J., G. Mandelker., C. Niden., A. Rosenfeld., and K. Shastri., 1991. The impact of corporate acquisition announcements on bid-ask quotes in an electronic market system with competitive market makers: The NASDAQ system, Working Paper, University of North Carolina at Chapel Hill.
9. Conrad, J., and C. Niden., 1992. Order flow, trading costs and corporate acquisition announcements, Financial Management 21, 22-31.
10. Copeland, T., and D. Galai., 1988. Information effects and the bid-ask spread, Journal of Finance 38, 1457-1469.
11. Cornell, B., and E. Sirri., 1992. The reaction of investors and stock prices to insider trading, Journal of Finance 47, 1031-1060.
12. Demsetz, H., 1986. Corporate control, insider trading, and rates of return, American Economic Review 76, 313-316.
13. Finnerty, J., 1976. Insiders and market efficiency, Journal of Finance 31, 1141-1148.
14. Foster, F., and S. Viswanathan., 1991. Trading costs for target firms in corporate takeovers, Working Paper, Duke University.
15. Glosten, L., 1989. Insider trading, liquidity, and the role of the monopolist specialist, Journal of Business 62, 211-235.
16. Glosten, L., and P. Milgrom., 1985. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71-100.
17. Hamilton, J., 1976. Competition, scale economies, and transaction cost in the stock market, Journal of Financial and Quantitative Analysis 11, 779-802.
18. Hamilton, J., 1978. Marketplace organization and marketability: NASDAQ, the stock exchange and the national market system, Journal of Finance 33, 487-503.
19. John, K., and L. Lang., 1991. Insider trading around dividend announcements: Theory and evidence, Journal of Finance 46, 1361-1389.
20. Kyle, A., 1985. Continuous auctions and inside trading, Econometrica 53, 1315-1335.
21. Lee, C., B. Mucklow., and M. Ready., 1993. Spreads, depths, and the impact of earnings information: An intraday analysis, Review of Financial Studies 6, 345-374.
22. McInish, T., and R. Wood., 1992. An analysis of intraday patterns in bid/ask spreads for NYSE stocks, Journal of Finance 47, 753-764.
23. Meulbroek, L., 1992. An empirical analysis of illegal insider trading, Journal of Finance 47, 1661-1700.
24. Patell, J., 1976. Corporate forecasts of earnings per share and stock price behavior: Empirical tests, Journal of Accounting Research 14, 246-276.
25. Prais, S., and C. Winsten., 1954. Trend estimators and serial correlation, Cowles Commission Discussion Paper No. 383.
26. Schwartz, R., 1988. Equity Markets, (Harper and Row: New York, NY).
27. Seyhun, H., 1986. Insiders’ profits, costs of trading, and market efficiency, Journal of Financial Economics 16, 189-212.
28. Stoll, H., 1978. The supply of dealer services in securities markets, Journal of Finance 33, 1133-1151.
29. Stoll, H., 1989. Inferring the components of the bid-ask spread: Theory and empirical tests, Journal of Finance 44, 115-134.
30. Stoll, H., and R. Whaley., 1983. Transaction costs and the small firm effect, Journal of Financial Economics 12, 57-79.