Results 221 to 230 of about 2,274 (258)

Option Bid-Ask Spread and Liquidity

SSRN Electronic Journal, 2011
This paper focuses on the search for a summary quantitative measure for option liquidity that is economically meaningful and easy to implement. We show that the relative spread measure (quoted dollar bid-ask spread relative to the mid-quote price) not only leads to liquidity ranking of options that is contrary to the popular view, but it is also biased
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Estimating the components of the bid/ask spread

Journal of Financial Economics, 1988
Abstract This paper develops and implements a technique for estimating a model of the bid/ask spread. The spread is decomposed into two components, one due to asymmetric information and one due to inventory costs, specialist monopoly power, and clearing costs.
Lawrence R Glosten, Lawrence E Harris
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Option Bid–Ask Spread and Liquidity

The Journal of Trading, 2015
This article focuses on the search for a economically meaningful and easy to implement summary quantitative measure for option liquidity. The author shows that the relative spread measure (quoted dollar bid–ask spread relative to the midquote price) not only leads to liquidity ranking of options that is contrary to the popular view, but it is also ...
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Market Structure and Bid-Ask Spread

1999
From a national perspective, the global competition in financial services requires operationally efficient securities markets. Improvements in operational efficiency allow for lower transaction costs to investors and add to the competitiveness of national securities markets.
Hartmut Schmidt, Peter Iversen, Kai Treske   +2 more
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A Model of the Components of the Bid-Ask Spread

SSRN Electronic Journal, 2005
Existing models decomposing the bid-ask spread into three components (adverse selection, inventory holding and order-processing) do not in many cases give sensible results. This paper suggests a new quote-based model for decomposing the bid-ask spread into three components, and uses it to explore a number of interesting issues.
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Bid-Ask Spreads and Institutional Ownership

Review of Quantitative Finance and Accounting, 2004
This 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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Bid-Asked Spreads on the AMEX and the Big Board

The Journal of Finance, 1977
Branch, Ben, Freed, Walter
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Arbitrage in markets with bid-ask spreads [PDF]

, 2014
In this paper a finite discrete time market with an arbitrary state space and bid-ask spreads is considered. The notion of an equivalent bid-ask martingale measure (EBAMM) is introduced and the fundamental theorem of asset pricing is proved using (EBAMM) as an equivalent condition for no-arbitrage.
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A closed-form quasi-maximum likelihood estimator of bid-ask spread

Communications in Statistics Part B: Simulation and Computation, 2022
Weiyi Liu, Die Wan
exaly  

Intermediation and the bid-ask spread

2021
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