INSIDER TRADING, REGULATION, AND THE COMPONENTS OF THE BID-ASK SPREAD
نویسندگان
چکیده
منابع مشابه
Information-Based Trading and the Bid-Ask Spread
We analyze the equilibrium spread when the transaction size of informed traders is elastic in the value of private information (α). We show that the pooling equilibrium is likely to be inefficient when trade size is sensitive to α and the inefficient equilibrium can occur before the market breaks down. The pooling equilibrium spread does not monotonically increase with α, although it increases ...
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We show that time variation in expected returns and/or partial price adjustments lead to a downward bias in previous estimators of both the spread and its components. We introduce a new approach that provides unbiased and efficient estimators of the components of the spread. We find that between 77 and 97 percent of the downward bias in previous spread estimates is caused by time variation in e...
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ژورنال
عنوان ژورنال: Journal of Financial Research
سال: 2008
ISSN: 0270-2592,1475-6803
DOI: 10.1111/j.1475-6803.2008.00238.x