Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Keywords

Ask price, Database transaction, Bid price, Business, Transaction cost

References

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• BIASES IN COMPUTED RETURNS An Application to the Size EffectMarshall E. Blume, Robert F. Stambaugh — 1983
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• Transaction costs and the small firm effectHans R. Stoll, Robert E. Whaley — 1983
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• SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical EvidenceDonald B. Keim — 1983
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• A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient MarketRichard Roll — 1984
• Market microstructureMark B. Garman — 1976
• On the Efficiency of Competitive Stock Markets Where Trades Have Diverse InformationSanford J. Grossman — 1976
• http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained2007

Cited by

• Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New YorkErik C.J. Hupperets, Albert J. Menkveld — 2000
• Transaction size and effective spread: An informational relationshipThomas Henker, Robert Kohn, Yuewen Xia — 2008
• Two Essays on the Probability of Informed TradingMarius Popescu — 2007
• Information Asymmetry, Bid-Ask Spreads and Option ReturnsFredrik Berchtold, Lars L. Nordén — 2003
• Corporate Diversification, Asymmetric Information, and Firm Value: Evidence from Stock Market Trading CharacteristicsShawn Thomas, C. Edward Fee — 2000
• High-Frequency Market Making to Large Institutional TradesRobert A. Korajczyk, Dermot Murphy — 2018
• The Dynamics of Bid and Ask Quotes Set by a Heterogeneously Informed Market MakerGregory James Dwyer — 2009
• The Impact of Limit Order Handling on the NYSE and Nasdaq Transaction CostsRobin K. Chou — 2005
• Feedback Effect of Stock Prices on Fundamental Values: Price Manipulation and Herding with Rational ExpectationsNaveen Khanna, Ramana Sonti — 2000
• On Market Microstructure Noise and Realized Volatility 1Francis X. Diebold — 2006
• Approches de la genèse des comportements mimétiques sur le marché des actionsS. Marsat — 2006
• Liquidity: What you see is what you get?Vincent van Kervel — 2012
• On Linearity of Transaction Costs in Order Driven MarketN. A. Andreev — 2014
• Modeling the Probability of Informed Trading in the European Carbon MarketVicente Medina, Ángel Pardo Tornero, Roberto Pascual — 2012
• Bid-ask spread, order size and volatility in the foreign exchange market: an empirical investigationSaida Gtifa, Naoufel Liouane — 2013
• THE EFFECT OF EARNINGS ANNOUNCEMENTS ON TRADING OUTCOMES FOR DIFFERENT INVESTOR CLASSESJames Vincent — 2010
• Investor Sentiment and Price Discovery: Evidence from the Pricing Dynamics between the Futures and Spot MarketsRobin K. Chou, Chu-Bin Lin, George H. K. Wang — 2018
• Time Deformation and the Yield CurveMark Salmon, Wing Wah Tham — 2007
• Applications of conic finance on the South African financial marketsMasimba Energy Sonono — 2012
• Essais en Microstructure des Marchés FinanciersJérôme Dugast — 2013

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