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Modeling the bid/ask spread: measuring the inventory-holding premium

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dc.contributor.authorBollen, Nicolas
dc.contributor.authorSmith, Tom
dc.contributor.authorWhaley, Robert
dc.date.accessioned2015-12-13T22:42:38Z
dc.date.issued2004
dc.date.updated2015-12-11T10:08:12Z
dc.description.abstractThe 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. This study develops a simple, parsimonious model for the market
dc.identifier.issn0304-405X
dc.identifier.urihttp://hdl.handle.net/1885/78859
dc.publisherElsevier
dc.sourceJournal of Financial Economics
dc.subjectKeywords: Bid/ask spread; Expected insurance cost; Inventory-holding premium; Semi-variance; Stochastic time to expiration
dc.titleModeling the bid/ask spread: measuring the inventory-holding premium
dc.typeJournal article
local.bibliographicCitation.lastpage141
local.bibliographicCitation.startpage97
local.contributor.affiliationBollen, Nicolas, Vanderbilt University
local.contributor.affiliationSmith, Tom, College of Business and Economics, ANU
local.contributor.affiliationWhaley, Robert, Vanderbilt University
local.contributor.authoruidSmith, Tom, u4048169
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor150201 - Finance
local.identifier.ariespublicationMigratedxPub7418
local.identifier.citationvolume72
local.identifier.doi10.1016/S0304-405X(03)00169-7
local.identifier.scopusID2-s2.0-1542402004
local.type.statusPublished Version

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