ON THE ESTIMATION OF BID-ASK SPREADS - THEORY AND EVIDENCE

[1] BHATTACHARYA M, 1978, BERKELEY OPTIONS DAT

[2] BHATTACHARYA M, 1986, DIRECT TESTS BID ASK

[3] BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT [J]. JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) : 387 - 404

[4] INFORMATION EFFECTS ON THE BID-ASK SPREAD [J]. JOURNAL OF FINANCE, 1983, 38 (05) : 1457 - 1469

[5] COST OF TRANSACTING [J]. QUARTERLY JOURNAL OF ECONOMICS, 1968, 82 (01) : 33 - 53

[6] GARBADE K, 1977, J BANK FINANC, V1, P151

[7] GLOSTEN L, 1986, ESTIMATING COMPONENT

[8] GLOSTEN L, 1985, ESTIMATING ADJUSTING

[9] BID, ASK AND TRANSACTION PRICES IN A SPECIALIST MARKET WITH HETEROGENEOUSLY INFORMED TRADERS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (01) : 71 - 100

[10] OPTIMAL DEALER PRICING UNDER TRANSACTIONS AND RETURN UNCERTAINTY [J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) : 47 - 73

[1] BHATTACHARYA M, 1978, BERKELEY OPTIONS DAT

[2] BHATTACHARYA M, 1986, DIRECT TESTS BID ASK

[3] BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT [J]. JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) : 387 - 404

[4] INFORMATION EFFECTS ON THE BID-ASK SPREAD [J]. JOURNAL OF FINANCE, 1983, 38 (05) : 1457 - 1469

[5] COST OF TRANSACTING [J]. QUARTERLY JOURNAL OF ECONOMICS, 1968, 82 (01) : 33 - 53

[6] GARBADE K, 1977, J BANK FINANC, V1, P151

[7] GLOSTEN L, 1986, ESTIMATING COMPONENT

[8] GLOSTEN L, 1985, ESTIMATING ADJUSTING

[9] BID, ASK AND TRANSACTION PRICES IN A SPECIALIST MARKET WITH HETEROGENEOUSLY INFORMED TRADERS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (01) : 71 - 100

[10] OPTIMAL DEALER PRICING UNDER TRANSACTIONS AND RETURN UNCERTAINTY [J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) : 47 - 73