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Effects of Bid-Ask Spreads and Prices Discreteness on Stock Returns

Author

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  • Dravid, A.R.

Abstract

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Suggested Citation

  • Dravid, A.R., 1991. "Effects of Bid-Ask Spreads and Prices Discreteness on Stock Returns," Weiss Center Working Papers 6-91, Wharton School - Weiss Center for International Financial Research.
  • Handle: RePEc:fth:pennif:6-91
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    Cited by:

    1. Hasbrouck, Joel, 1999. "Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 1-28, February.
    2. Hautsch, Nikolaus & Pohlmeier, Winfried, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers 01/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-.

    More about this item

    Keywords

    stock market ; prices;

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