Co-Movements in Bid-Ask Spreads and Market Depth-Reference-Cited by-同舟云学术

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Co-Movements in Bid-Ask Spreads and Market Depth

Published:2000-09 Issue:5 Volume:56 Page:23-27
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Chordia Tarun¹,Roll Richard²,Subrahmanyam Avanidhar³

Affiliation:

1. Tarun Chordia is assistant professor of finance at Emory University.

2. Richard Roll is Allstate Professor of Finance at the Anderson School at the University of California at Los Angeles.

3. Avanidhar Subrahmanyam is professor of finance at the Anderson School at the University of California at Los Angeles.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v56.n5.2386

Reference9 articles.

1. Determinants of bid-asked spreads in the over-the-counter market

2. An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an anonymous referee. In addition, we appreciate the comments from seminar participants at the 1997 American Finance Association meetings, the University of Arizona, Kansas State University, the University of North Carolina, the 1996 Pacific Northwest Finance Conference, Virginia Polytechnic Institute, and the University of Wisconsin. This work has been partially supported by a summer research grant from the Pamplin College of Business.1

3. Commonality in liquidity

4. Risk, Return, and Equilibrium: Empirical Tests

5. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

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