haku: @author Huang, R. / yhteensä: 5
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| Tekijä: | Huang, R. Stoll, H. |
| Otsikko: | The components of the bid-ask spread: a general approach |
| Lehti: | Review of Financial Studies
1997 : WINTER, VOL. 10:4, p. 995-1034 |
| Asiasana: | MARKETS MODELS TRADE |
| Kieli: | eng |
| Tiivistelmä: | A simple time-series market microstructure model is constructed within which existing models of spread components are reconciled. The authors show that existing models fail to decompose the spread into all its components. Two alternative extensions of the simple model are developed to identify all the components of the spread and to estimate the spread at which trades occur. The empirical results support the presence of a large order processing component and smaller, albeit significant, adverse selection and inventory components. |
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