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Modeling the bid/ask spread: measuring the inventory-holding premium

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  • Bollen, Nicolas P. B.
  • Smith, Tom
  • Whaley, Robert E.

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  • 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.
  • Handle: RePEc:eee:jfinec:v:72:y:2004:i:1:p:97-141
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