Results 211 to 220 of about 2,274 (258)
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Insider Trading and the Bid-Ask Spread
Financial Review, 1998AbstractThis study examines the intertemporal and cross‐sectional association between the bid‐ask spread and insider trading. Empirical results from the cross‐sectional regression analysis reveal that market makers establish larger spreads for stocks with a greater extent of insider trading.
Kee H Chung, Charlie Charoenwong
exaly +2 more sources
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 Effect of Decimalization on the Components of the Bid-Ask Spread
SSRN Electronic Journal, 2002Previous empirical studies that decompose the bid-ask spread were done when securities traded in discrete price points equal to one-sixteenth or one-eighth of a dollar. These studies concluded that inventory and adverse-selection costs were economically insignificant compared to order-processing costs.
Scott Gibson +2 more
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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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Limit orders and the bid-ask spread
SSRN Electronic Journal, 2003We examine the role of limit-order traders and specialists in the market-making process. We find that a large portion of posted bid-ask quotes originates from the limit-order book without direct participation by specialists, and that competition between traders and specialists has a significant impact on the bid-ask spread.
Kee H. Chung +2 more
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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.
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Risk Aversion and the Bid-Ask Spread
European Financial Management, 1999This paper studies the properties of bid and ask prices posted by a monopolistic market maker, without parametric assumptions about the utility function of the market maker or about the probability distribution of the return of the risky asset. We first prove that the two prices can be higher or lower than the expected value of the asset, and that the ...
Patrick Roger
exaly +2 more sources
The Determinants of CDS Bid-Ask Spreads
The Journal of Derivatives, 2008Recently, the issue of liquidity has generated considerable attention in financial research. In this article, Meng and ap Gwilym analyze the determinants of liquidity in the market for credit default swaps, as measured by the width of their bid-ask spreads.
Lei Meng, Owain ap Gwilym
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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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Limit orders and the bid–ask spread
Journal of Financial Economics, 1999Abstract We examine the role of limit-order traders and specialists in the market-making process. We find that a large portion of posted bid–ask quotes originates from the limit-order book without direct participation by specialists, and that competition between traders and specialists has a significant impact on the bid–ask spread.
openaire +1 more source