Estimating the components of the bid/ask spread

Journal of Financial Economics

Volumn 21, Issue 1, 1988, Pages 123-142

  Glosten, Lawrence R ^a   Harris, Lawrence E ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 38249030378     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(88)90034-7     Document Type: Article

References (26)

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2. The only game in town
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4. Biases in computed returns: An application to the size effect
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6. A subordinated stochastic process model with finite variance for speculative prices
7. On the existence of serial correlation in an efficient securities market
8. Capital market equilibrium with transactions costs
9. Information effects on the bid/ask spread
10. Price, trade size and information in securities markets
11. Stock returns and the weekend effect
12. Stock return variances: The arrival of information and the reaction of traders
13. Components of the bid/ask spread and the statistical properties of transaction prices
14. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
15. Implications of the discreteness of observed stock prices
16. Transaction data tests of the mixture of distributions hypothesis
17. Order arrival quote behavior and the return-generating process
18. Dealer bid-ask quotes and transaction prices An empirical study of some AMEX options
19. Optimal dealer pricing under transactions and return uncertainty
20. The effect of large block transactions on security prices: A cross-sectional analysis
21. Size-related anomalies and stock return seasonality: Further empirical evidence
22. Continuous auctions and insider trading
23. Market making and reversals on the stock exchange
24. A simple measure of the effective bid/ask spread in an efficient market