Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices Export

@article{citeulike:3320356, abstract = {The bid-ask spread can be decomposed into two parts: one part due to asymmetric information and the other part due to other factors such as monopoly power. The part due to asymmetric information attenuates statistical biases in mean return, variance, and serial covariance. Thus, using spread data to adjust for biases in return moments requires knowing not only the spread but the composition of the spread. Furthermore, any spread-estimation procedure using transaction prices must estimate two spread components. On the other hand, the appropriateness of some previously suggested statistical corrections is independent of the spread composition.}, author = {Glosten, Lawrence R.}, citeulike-article-id = {3320356}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2328528}, citeulike-linkout-1 = {http://www.jstor.org/stable/2328528}, doi = {10.2307/2328528}, issn = {00221082}, journal = {The Journal of Finance}, keywords = {adjustments, asked, bias, bid, costs, economic, factors, information, models, monopolies, power, price, returns, securities, spread, studies, trading, transactions}, number = {5}, pages = {1293--1307}, posted-at = {2008-09-23 10:25:31}, priority = {2}, publisher = {Blackwell Publishing for the American Finance Association}, title = {Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices}, url = {http://dx.doi.org/10.2307/2328528}, volume = {42}, year = {1987} }

TY - JOUR ID - citeulike:3320356 L3 - citeulike-article-id:3320356 N2 - The bid-ask spread can be decomposed into two parts: one part due to asymmetric information and the other part due to other factors such as monopoly power. The part due to asymmetric information attenuates statistical biases in mean return, variance, and serial covariance. Thus, using spread data to adjust for biases in return moments requires knowing not only the spread but the composition of the spread. Furthermore, any spread-estimation procedure using transaction prices must estimate two spread components. On the other hand, the appropriateness of some previously suggested statistical corrections is independent of the spread composition. IS - 5 JF - The Journal of Finance SN - 00221082 EP - 1307 TI - Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices PB - Blackwell Publishing for the American Finance Association VL - 42 SP - 1293 KW - adjustments KW - asked KW - bias KW - bid KW - costs KW - economic KW - factors KW - information KW - models KW - monopolies KW - power KW - price KW - returns KW - securities KW - spread KW - studies KW - trading KW - transactions AU - Glosten, Lawrence PY - 1987/// UR - http://dx.doi.org/10.2307/2328528 ER -