Estimating the components of the bid/ask spread

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

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

1985 • 6,148 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Stock return variances

1986 • 1,878 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

The Only Game in Town

1971 • 899 citations

Biases in computed returns

1983 • 846 citations

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

1984 • 615 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

Insider Trading, Liquidity, and the Role of the Monopolist Specialist

1989 • 550 citations

The effect of large block transactions on security prices: A cross-sectional analysis

1987 • 501 citations

Components of the Bid‐Ask Spread and the Statistical Properties of Transaction Prices

1987 • 362 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

Transaction Data Tests of the Mixture of Distributions Hypothesis

1987 • 335 citations

BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD

1977 • 172 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

Order Arrival, Quote Behavior, and the Return‐Generating Process

1987 • 161 citations

ASSET PRICING AND BID-ASK SPREAD

1986 • 118 citations

Dealer Bid‐Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options

1984 • 92 citations

Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices

1987 • 81 citations

Market Making and Reversal on the Stock Exchange

1966 • 74 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 52 citations

Order Arrival, Quote Behavior, and the Return-Generating Process

1987 • 47 citations

Bid-Asked Spreads on the AMEX and the Big Board

1977 • 33 citations

Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options

1984 • 14 citations