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Trade Sizes And Theories Of The Bid-Ask Spread

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  • Paul A. Laux

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  • Paul A. Laux, 1993. "Trade Sizes And Theories Of The Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 237-249, September.
    • Handle: RePEc:bla:jfnres:v:16:y:1993:i:3:p:237-249
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1993.tb00143.x
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    References listed on IDEAS

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    1. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Hasbrouck, Joel, 1988. "Trades, quotes, inventories, and information," Journal of Financial Economics, Elsevier, vol. 22(2), pages 229-252, December.
    3. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, vol. 21(1), pages 123-142, May.
    4. Glosten, Lawrence R, 1989. "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," The Journal of Business, University of Chicago Press, vol. 62(2), pages 211-235, April.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
    7. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-1151, September.
    8. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-134, March.
    9. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    10. Chiang, Raymond & Venkatesh, P C, 1988. " Insider Holdings and Perceptions of Information Asymmetry: A Note," Journal of Finance, American Finance Association, vol. 43(4), pages 1041-1048, September.
    11. Hamilton, James L., 1976. "Competition, Scale Economies, and Transaction Cost in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 779-802, December.
    12. Hamilton, James L, 1978. "Marketplace Organization and Marketability: NASDAQ, the Stock Exchange, and the National Market System," Journal of Finance, American Finance Association, vol. 33(2), pages 487-503, May.
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    Cited by:

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    2. Ajina, Aymen & Habib, Aymen, 2017. "Examining the relationship between earning management and market liquidity," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1164-1172.
    3. Pham, Son D. & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "The liquidity of active ETFs," Global Finance Journal, Elsevier, vol. 49(C).

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