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Review of Quantitative Finance and Accounting, ISSN 0924-865X, 7/2016, Volume 47, Issue 1, pp. 179 - 211
A new estimator of bid-ask spreads is presented. When the trade direction is known, any estimate of the spread is associated with a unique series of conjectural... 
Corporate Finance | G20 | Feedback trading | Finance | Accounting/Auditing | Estimation | C15 | Operation Research/Decision Theory | Econometrics | Bid-ask spread | Monte Carlo method | Usage | Analysis | Pricing | Studies | Spread | Asked price | Monte Carlo simulation
Journal Article
Journal of Econometrics, ISSN 0304-4076, 10/2017, Volume 200, Issue 2, pp. 312 - 325
This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (ε... 
Latent variables | Bid–ask spread | Semiparametric identification | Roll model | NONLINEAR MODELS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | MARKET | EXTENSIONS | ESTIMATORS | SOCIAL SCIENCES, MATHEMATICAL METHODS | VARIABLES | ECONOMICS | Bid-ask spread
Journal Article
Journal of Financial Markets, ISSN 1386-4181, 2009, Volume 12, Issue 4, pp. 778 - 813
I develop new spread proxies that pick up on three attributes of the low-frequency (daily) data: (1) price clustering, (2... 
Liquidity | Effective spread | Market efficiency | Transaction cost | Asset pricing | BUSINESS, FINANCE | MARKET | RETURNS | COMPONENTS | BID-ASK SPREAD | ILLIQUIDITY | STOCKS | Liquidity Effective spread Transaction cost Asset pricing Market efficiency | Analysis | Industrial efficiency
Journal Article
International Journal of Finance & Economics, ISSN 1076-9307, 01/2016, Volume 21, Issue 1, pp. 75 - 89
Journal Article
Agricultural Economics, ISSN 0169-5150, 05/2018, Volume 49, Issue 3, pp. 381 - 393
This article examines whether USDA announcements and commodity index fund rolling activity have an impact on liquidity costs, measured by the bid‐ask spread... 
Futures markets | Liquidity cost | Q13 | USDA reports | D23 | Commodity index funds | G12 | Bid‐ask spread | G14 | Bid-ask spread | PRICES | INFORMATION | COMMODITY FUTURES | MODEL | FINANCIALIZATION | AGRICULTURAL ECONOMICS & POLICY | ECONOMICS | VOLATILITY | Corn | Index funds | Futures market | Corn industry | Commodity futures | Costs | Investment advisors | Commodities | Liquidity | Order processing
Journal Article
Journal of International Financial Markets, Institutions & Money, ISSN 1042-4431, 05/2018, Volume 54, pp. 78 - 97
•USD/JPY and USD/NOK FX swap bid-ask spreads are investigated.•Both markets appear highly competitive in line with market microstructure theory... 
Collusion | Bid-ask spreads | LIBOR | OTC markets | Market microstructure theory | Foreign exchange | BUSINESS, FINANCE | TRADING COSTS | UNCERTAINTY | FOREIGN-EXCHANGE MARKET | ECONOMICS | VOLATILITY | Competition (Economics) | Business schools | Financial markets | Antitrust law | Financial institutions | Scandals | Restraint of trade | Conferences and conventions
Journal Article
Journal of Financial Markets, ISSN 1386-4181, 01/2014, Volume 17, Issue 1, pp. 94 - 120
This study examines the relation between the bid-ask spread from the daily CRSP data and the bid-ask spread from the intraday TAQ data... 
Bid-ask spreads | Market liquidity | CRSP | Low-frequency liquidity measures | Information asymmetry | TAQ | NASDAQ | RETURNS | CORPORATE GOVERNANCE | BUSINESS, FINANCE | IMPACT | DISCLOSURE | TRADE EXECUTION COSTS | OWNERSHIP | STOCK-MARKET LIQUIDITY
Journal Article
Annals of Finance, ISSN 1614-2446, 11/2015, Volume 11, Issue 3, pp. 453 - 475
In this paper a finite discrete time market model with bid-ask spreads and a money account is considered in the setting of an arbitrary state space... 
Bid-ask spreads | Arbitrage | Finance | Economic Theory/Quantitative Economics/Mathematical Methods | G10 | Consistent price system | Macroeconomics/Monetary Economics//Financial Economics | Quantitative Finance | Finance, general | Bid-ask martingale measure | Computer science | Pricing | Studies | Spread | Investments
Journal Article
Quarterly Review of Economics and Finance, ISSN 1062-9769, 08/2016, Volume 61, pp. 249 - 259
•We examine on intradaily basis (milliseconds) the largest 100 ETFs’ bid-ask spread components in the period March 21, 2014 to April 17, 2014 and how they are similar to stocks... 
Adverse selection | Bid-ask spread | ETF | Exchange traded funds | Exchange-traded funds | Analysis | Business schools
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 04/2012, Volume 391, Issue 8, pp. 2656 - 2666
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 1999, Volume 53, Issue 2, pp. 255 - 287
... between traders and specialists has a significant impact on the bid–ask spread. Specialists’ spreads are widest at the open, narrow until late morning, and then level off... 
Specialists | Bid–ask spread | Limit order | G14 | Bid-ask spread | NASDAQ | EMPIRICAL-ANALYSIS | SECURITIES MARKETS | NYSE STOCKS | INFORMATION | specialists | INFORMED TRADERS | limit order | EXECUTION COSTS | BUSINESS, FINANCE | TRADING MECHANISMS | STOCK TRADES | DEALER MARKETS | bid-ask spread | ECONOMICS | Stock-exchange | Evaluation | Research | Stocks
Journal Article
MANAGEMENT SCIENCE, ISSN 0025-1909, 4/2019, Volume 65, Issue 4, pp. 1833 - 1854
This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate... 
implied volatility | market microstructure | bid-ask spread | maturity effect | option pricing | incomplete market | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | MANAGEMENT | VOLUME | RISK | HEDGE RATIO | STOCK | Prices | Uncertainty | Volatility | Risk | Markets | Mathematical models | Asked price | Market equilibrium | Equilibrium | Maturity | Avoidance
Journal Article
Quantitative Finance, ISSN 1469-7688, 02/2008, Volume 8, Issue 1, pp. 41 - 57
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag... 
Impact | Liquidity | Microstructure | Bid-ask spread | FINANCIAL-MARKETS | FRICTION | microstructure | impact | RETURNS | COMPONENTS | liquidity | CONTINUOUS DOUBLE AUCTION | TRANSACTION PRICES | BUSINESS, FINANCE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | FLUCTUATIONS | BOOK | SOCIAL SCIENCES, MATHEMATICAL METHODS | bid-ask spread | ECONOMICS | Microstructure; Bid-ask spread; Impact; Liquidity
Journal Article
American Journal of Agricultural Economics, ISSN 0002-9092, 3/2014, Volume 96, Issue 2, pp. 557 - 577
Journal Article
Finance Research Letters, ISSN 1544-6123, 03/2014, Volume 11, Issue 1, pp. 54 - 62
•I explore the performance of high–low spread estimator.•Wider true spreads lead to higher estimation accuracy... 
High–low spread estimator | Effective spread | Measurement error | Estimation accuracy | High-low spread estimator | BUSINESS, FINANCE | PRICES | COMPONENTS | BID-ASK SPREAD
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2009, Volume 92, Issue 2, pp. 153 - 181
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2004, Volume 72, Issue 1, pp. 97 - 141
The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents... 
Stochastic time to expiration | Bid/ask spread | Inventory-holding premium | Semi-variance | Expected insurance cost | NASDAQ | LIQUIDITY | expected insurance cost | INFORMATION | COMPONENTS | OPTIONS | semi-variance | MARKET EQUILIBRIUM | EXECUTION COSTS | BUSINESS, FINANCE | IMPACT | bid/ask spread | SIXTEENTHS | BID-ASK SPREAD | ECONOMICS | inventory-holding premium | Forecasts and trends | Financial markets | Cost benefit analysis | Analysis
Journal Article
Review of Quantitative Finance and Accounting, ISSN 0924-865X, 10/2017, Volume 49, Issue 3, pp. 811 - 853
In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods... 
Finance | Hedging | G12 | Credit default swap | G14 | Systematic risk | G19 | Capital structure arbitrage | Corporate Finance | Funding costs | Accounting/Auditing | Operations Research/Decision Theory | Bid-ask spread co-movement | Econometrics | Equity (Finance) | Research | Credit default swaps | Financial research | Market risk | Studies | Spread | Credit | Volatility | Equity | Risk exposure | Risk factors
Journal Article