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A Monte Carlo-Based Framework for Two-Stage Stochastic Programming: Application to Bond Portfolio Optimization. [PDF]
Entropy (Basel)Albaqami H, Mrad M, Gharbi A, Subasi MM.
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Information Effects on the Bid-Ask Spread
The Journal of Finance, 1983ABSTRACTAn individual who chooses to serve as a market‐maker is assumed to optimize his position by setting a bid‐ask spread which maximizes the difference between expected revenues received from liquidity‐motivated traders and expected losses to information‐motivated traders.
Copeland, Thomas E, Galai, Dan
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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 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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Earnings Announcements and the Components of the Bid-Ask Spread
The Journal of Finance, 1996ABSTRACTThis study investigates the behavior of the components of the bid‐ask spread around earnings announcements. We find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly decline during the same periods.
Krinsky, Itzhak, Lee, Jason
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Trading Mechanisms and the Components of the Bid‐Ask Spread
The Journal of Finance, 1994ABSTRACTWe compare the relative magnitudes of the components of the bid‐ask spread for New York Stock Exchange (NYSE)/American Stock Exchange (AMEX) stocks to those of National Association of Securities Dealers Automated Quotations (NASDAQ)/National Market System (NMS) stocks. We find that the order‐processing cost component is smaller, and the adverse
Affleck-Graves, John +2 more
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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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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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Journal of Financial Markets, 2018
Abstract We examine the return premium associated with a new measure of illiquidity that focuses on extreme points in the distribution of bid-ask spreads. Results show that stocks with larger maximum bid-ask spreads and price impacts command a return premium that is both statistically and economically significant. These results are robust to a series
Benjamin M. Blau +2 more
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Abstract We examine the return premium associated with a new measure of illiquidity that focuses on extreme points in the distribution of bid-ask spreads. Results show that stocks with larger maximum bid-ask spreads and price impacts command a return premium that is both statistically and economically significant. These results are robust to a series
Benjamin M. Blau +2 more
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Trade Size and Components of the Bid-Ask Spread
Review of Financial Studies, 1995The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases uniformly with trade size. Conversely, order processing costs decrease with increases in trade size for all but the largest trades.
Lin, Ji-Chai +2 more
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