A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

The Journal of Finance

Volumn 39, Issue 4, 1984, Pages 1127-1139

  ROLL, RICHARD ^a  

^a NONE

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Indexed keywords

EID: 84944043652     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1984.tb03897.x     Document Type: Article

References (9)

1. “Information Effects on the Bid‐Ask Spread.”
2. “The Cost of Transacting.”
3. “The Behavior of Stock Market Prices.”
4. “Efficient Capital Markets: A Review of Theory and Empirical Work.”
5. “Information and Competitive Price Systems.”
6. “Market Making and Reversal on the Stock Exchange.”
7. “Proof that Properly Anticipated Prices Fluctuate Randomly.”