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The Volatility of Bid-Ask Spreads
SSRN Electronic Journal, 2013This paper provides evidence that supports the original hypothesis of Chordia, Subrahmanyam, and Ashuman (2001) that greater variability in liquidity should lead to higher expected returns. While prior research has often found a negative relation between the volatility of liquidity and expected stock returns, we find that the volatility of the bid-ask ...
Benjamin M. Blau, Ryan J. Whitby
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New empirical evidence on the bid-ask spread [PDF]
Applied Economics, 2015 In this article, we model the determinants of spread for 734 firms listed on the NYSE over the period 1 January 1998 to 31 December 2008. We propose a panel data model of the determinants of spread. There are four main messages emerging from our work. We find a statistically significant effect of volume on spread inconsistent with the work of Johnson ...
Paresh K Narayan +2 more
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The Volatility of Bid‐Ask Spreads
Financial Management, 2015This study tests whether the volatility of bid‐ask spreads is positively related to expected returns. After controlling for market‐risk factors, we find that the average risk‐adjusted excess return for stocks in the highest spread volatility quintile is around 50 basis points per month.
Benjamin M. Blau, Ryan J. Whitby
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BID‐ASK SPREAD AND OWNERSHIP STRUCTURE
Journal of Financial Research, 1995AbstractIn this paper we examine the relation between bid‐ask spread and ownership structure variables based on 1985 data for 1,063 NYSE firms. We document a nonpositive relation between bid‐ask spread and insider ownership and conclude that spread is unrelated to insider trading. We also find a robust significantly negative relation between spread and
Omesh Kini, Shehzad Mian
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1994
This paper discusses an application of a rather novel technique for the estimation of the tails of return distributions for financial assets. This extreme value approach proves to be particularly useful when assessing characteristics of high frequency (tick-by-tick) transaction data.
Kofman, Paul +3 more
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This paper discusses an application of a rather novel technique for the estimation of the tails of return distributions for financial assets. This extreme value approach proves to be particularly useful when assessing characteristics of high frequency (tick-by-tick) transaction data.
Kofman, Paul +3 more
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Bid-Ask Spreads Around Earnings Announcements
SSRN Electronic Journal, 2001This paper examines the determinants of bid-ask spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily spreads are affected by order processing costs (proxied by trading volumes), inventory control costs (trading volumes and return variability) and ...
Daniella Acker +2 more
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Volatility, Market Structure, and the Bid‐Ask Spread*
Asia-Pacific Journal of Financial Studies, 2008AbstractWe test the conjecture that the specialist system on the New York Stock Exchange (NYSE) provides better liquidity services than the NASDAQ dealer market in times of high return volatility when adverse selection and inventory risks are high. We motivate our conjecture from the observation that there is a designated specialist for each stock on ...
Kee H. Chung, Youngsoo Kim
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The Effects of Stock Splits on Bid-Ask Spreads
The Journal of Finance, 1990ABSTRACTThis paper examines the effects of stock splits on bid‐ask spreads for NYSE‐listed companies. Percentage spreads increase after splits, representing a liquidity cost to investors. These spread increases are directly related to decreases in share prices following splits and can explain part, but not all, of the observed increase in return ...
Conroy, Robert M +2 more
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Bid-Ask Spreads and Institutional Ownership
Review of Quantitative Finance and Accounting, 2004This paper examines the relation between bid-ask spreads, measured both as effective and specialist-posted spreads, and institutional ownership. For the overall sample, spreads are negatively related to institutional ownership share. The paper suggests that this effect may be due to some institutions being restricted in their trading, which reduces bid-
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2002
Abstract The bid/ask spread is the price impatient traders pay for immediacy. Impatient traders buy at the ask price and sell at the bid price. The spread is the compensation dealers and limit order traders receive for offering immediacy.
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Abstract The bid/ask spread is the price impatient traders pay for immediacy. Impatient traders buy at the ask price and sell at the bid price. The spread is the compensation dealers and limit order traders receive for offering immediacy.
openaire +1 more source