On the Estimation of Bid-Ask Spreads: Theory and Evidence

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

1985 • 6,148 citations

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

1984 • 2,564 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Biases in computed returns

1983 • 846 citations

Transaction costs and the small firm effect

1983 • 461 citations

Market Making and Reversal on the Stock Exchange

1966 • 360 citations

Trading costs for listed options

1980 • 218 citations

Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market

1972 • 189 citations

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

1984 • 92 citations

On the independence of transactions on the New York Stock exchange

1977 • 48 citations