A SIMPLE IMPLICIT MEASURE OF THE EFFECTIVE BID-ASK SPREAD IN AN EFFICIENT MARKET

被引：1254

作者：

ROLL, R

机构：

来源：

关键词：

D O I：

10.2307/2327617

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1127 / 1139

页数：13

共 9 条

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GALAI, D .

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[3] THE BEHAVIOR OF STOCK-MARKET PRICES [J].

FAMA, EF .

[4] EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK [J].

FAMA, EF .

[5]

FULLER WA, 1976, INTRO STATISTICAL TI

[6]

GROSSMAN SJ, 1976, AM ECON REV, V66, P246

[7]

NIEDERHO.V, 1966, J AM STAT ASSOC, V61, P897

[8]

*NY STOCK EXCH, 1982, FACT BOOK 1982

[9]

SAMUELSON PA, 1965, IMR-IND MANAG REV, V6, P41