Liquidity and Arbitrage
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- Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, vol. 1(4), pages 353-364, December.
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000.
"Do Call Prices and the Underlying Stock Always Move in the Same Direction?,"
Review of Financial Studies,
Society for Financial Studies, vol. 13(3), pages 549-584.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1999. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Yale School of Management Working Papers ysm125, Yale School of Management.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages 7-31, January.
- Clifford A. Ball, 2001. "True Spreads and Equilibrium Prices," Journal of Finance, American Finance Association, vol. 56(5), pages 1801-1835, October.
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