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Bid-Asked Spreads on the Amex and the Big Board

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  • Branch, Ben
  • Freed, Walter
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 32 (1977)
    Issue (Month): 1 (March)
    Pages: 159-63

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    Handle: RePEc:bla:jfinan:v:32:y:1977:i:1:p:159-63

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    Cited by:
    1. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2012. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers," MPRA Paper 40003, University Library of Munich, Germany.
    2. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders," Research Paper 9814, Federal Reserve Bank of New York.
    3. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.
    4. Sara Castellanos, 2001. "A New Empirical Study of the Mexican Treasury Securities Primary Auctions: Is there more underpricing?," Levine's Working Paper Archive 625018000000000206, David K. Levine.
    5. Chordia, Tarun & Shivakumar, L & Subrahmanyam, Avanidhar, 2000. "Liquidity Dynamics Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management qt2zs4b4j4, Anderson Graduate School of Management, UCLA.
    6. Wei, Jason & Zheng, Jinguo, 2010. "Trading activity and bid-ask spreads of individual equity options," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2897-2916, December.
    7. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York.
    8. Sara Castellanos, 2001. "Mexican treasury securities primary auctions," Theory workshop papers 357966000000000025, UCLA Department of Economics.
    9. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
    10. Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
    11. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1995. "Investment analysis and price formation in securities markets," Journal of Financial Economics, Elsevier, vol. 38(3), pages 361-381, July.
    12. Engle, Robert F, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series qt6rp7g17q, Department of Economics, UC San Diego.
    13. Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2010. "Risk aversion, order strategy and price formation," Applied Economics, Taylor & Francis Journals, vol. 42(5), pages 627-640.
    14. Branch, Ben & Echevarria, David P., 1998. "The bid-ask bias and the size effect: A test of the Blume-Stambaugh bid-ask bias effect hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 129-148.
    15. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    16. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1997. "Estimating the adverse selection cost in markets with multiple informed traders," Research Paper 9713, Federal Reserve Bank of New York.
    17. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.

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