In:
The Journal of Finance, Wiley, Vol. 44, No. 1 ( 1989-03), p. 115-134
Abstract:
The relation between the square of the quoted bid‐ask spread and two serial covariances—the serial covariance of transaction returns and the serial covariance of quoted returns—is modeled as a function of the probability of a price reversal, π , and the magnitude of a price change, ∂, where ∂ is stated as a fraction of the quoted spread. Different models of the spread are contrasted in terms of the parameters, π and ∂. Using data on the transaction prices and price quotations for NASDAQ/NMS stocks, π and ∂ are estimated and the relative importance of the components of the quoted spread—adverse information costs, order processing costs, and inventory holding costs—is determined.
Type of Medium:
Online Resource
ISSN:
0022-1082
,
1540-6261
DOI:
10.1111/jofi.1989.44.issue-1
DOI:
10.1111/j.1540-6261.1989.tb02407.x
Language:
English
Publisher:
Wiley
Publication Date:
1989
detail.hit.zdb_id:
218191-5
detail.hit.zdb_id:
2010241-0
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