Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Journal of Financial Economics

Volumn 14, Issue 1, 1985, Pages 71-100

  Glosten, Lawrence R ^a,b   Milgrom, Paul R ^c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

^c YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0345401653     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(85)90044-3     Document Type: Article

References (17)

1. The market for ‘lemons’ qualitative uncertainty and the market mechanism
2. Dealership market
3. The only game in town
4. On the relationship between return and market value of common stocks
5. Biases in computed returns: An application to the size effect
6. Information effects on the bid ask spread
7. Efficient capital markets A review of theory and empirical work
8. Market microstructure
9. On the efficiency of competitive stock markets when traders have diverse information
10. Optimal dealer pricing under transactions and return uncertainty
11. Size related anomalies and stock return seasonality: Further empirical evidence
12. Information, trade and common knowledge
13. Trading costs for listed options: The implications for market efficiency
14. A simple measure of the effective bid/ask spread in an efficient market
15. Transactions costs and the small firm effect