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Bid ask spread in a competitive market with institutions and order size

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Author Info
Malay Dey ()
Hossein Kazemi
Abstract

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File URL: http://hdl.handle.net/10.1007/s11156-007-0056-5
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Publisher Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 30 (2008)
Issue (Month): 4 (May)
Pages: 433-453
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Handle: RePEc:kap:rqfnac:v:30:y:2008:i:4:p:433-453

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: Information asymmetry; Sequential equilibrium; Order size; Security price; Bid-ask spread; Institutions; G10; G14;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Easley, David & O'Hara, Maureen, 1992. "Adverse Selection and Large Trade Volume: The Implications for Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 185-208, June. [Downloadable!]
  2. Almazan, Andres & Brown, Keith C. & Carlson, Murray & Chapman, David A., 2004. "Why constrain your mutual fund manager?," Journal of Financial Economics, Elsevier, vol. 73(2), pages 289-321, August. [Downloadable!] (restricted)
  3. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June. [Downloadable!] (restricted)
  4. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March. [Downloadable!] (restricted)
  5. Allen, Franklin & Gale, Douglas, 1992. "Stock-Price Manipulation," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(3), pages 503-29. [Downloadable!] (restricted)
  6. Keim, Donald B & Madhaven, Ananth, 1996. "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(1), pages 1-36. [Downloadable!] (restricted)
  7. Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, vol. 55(2), pages 773-806, 04. [Downloadable!] (restricted)
  8. Robert E. Verrecchia & Christian Leuz, 1999. "The Economic Consequences of Increased Disclosure," Working Paper Series: Finance and Accounting 41, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  9. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(3), pages 805-35.
  10. Dan Bernhardt & Vladimir Dvoracek & Eric Hughson & Ingrid M. Werner, 2005. "Why Do Larger Orders Receive Discounts on the London Stock Exchange?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(4), pages 1343-1368. [Downloadable!] (restricted)
  11. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April. [Downloadable!] (restricted)
  12. Brennan, Michael J & Jegadeesh, Narasimhan & Swaminathan, Bhaskaran, 1993. "Investment Analysis and the Adjustment of Stock Prices to Common Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(4), pages 799-824. [Downloadable!] (restricted)
  13. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(5), pages 1407-1437.
  14. Seppi, Duane J, 1990. " Equilibrium Block Trading and Asymmetric Information," Journal of Finance, American Finance Association, vol. 45(1), pages 73-94, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-8.

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