Estimating the components of the bid/ask spread

Amihud, 1986, Asset pricing and bid-ask spread, Journal of Financial Economics, 17, 233, 10.1016/0304-405X(86)90065-6 Bagehot, 1971, Financial Analysts Journal, 22, 12, 10.2469/faj.v27.n2.12 Benston, 1974, Determinants of bid-asked spreads in the over-the-counter market, Journal of Financial Economics, 1, 353, 10.1016/0304-405X(74)90014-2 Blume, 1983, Biases in computed returns: An application to the size effect, Journal of Financial Economics, 12, 387, 10.1016/0304-405X(83)90056-9 Branch, 1977, Bid-asked spreads on the AMEX and the big board, Journal of Finance, 32, 159, 10.2307/2326910 Clark, 1973, A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135, 10.2307/1913889 Cohen, 1979, On the existence of serial correlation in an efficient securities market, TIMS Studies in the Management Sciences, 11, 151 Constantinides, 1986, Capital market equilibrium with transactions costs, Journal of Political Economy, 94, 842, 10.1086/261410 Copeland, 1983, Information effects on the bid/ask spread, Journal of Finance, 25, 383 Easley, 1987, Price, trade size and information in securities markets, Journal of Financial Economics, 19, 69, 10.1016/0304-405X(87)90029-8 French, 1980, Stock returns and the weekend effect, Journal of Financial Economics, 8, 55, 10.1016/0304-405X(80)90021-5 French, 1986, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5, 10.1016/0304-405X(86)90004-8 Glosten, 1987, Components of the bid/ask spread and the statistical properties of transaction prices, Journal of Finance, 42, 1293, 10.2307/2328528 Glosten, 1987 Glosten, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71, 10.1016/0304-405X(85)90044-3 Gottlieb, 1985, Implications of the discreteness of observed stock prices, Journal of Finance, 40, 135, 10.2307/2328052 Harris, 1986 Harris, 1987, Transaction data tests of the mixture of distributions hypothesis, Journal of Financial and Quantitative Analysis, 22, 127, 10.2307/2330708 Hasbrouck, 1987, Order arrival, quote behavior, and the return-generating process, Journal of Finance, 42, 1035, 10.2307/2328305 Ho, 1984, Dealer bid-ask quotes and transaction prices: An empirical study of some AMEX options, Journal of Finance, 39, 23, 10.2307/2327666 Ho, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, 9, 47, 10.1016/0304-405X(81)90020-9 Holthausen, 1987, The effect of large block transactions on security prices: A cross-sectional analysis, Journal of Financial Economics, 19, 237, 10.1016/0304-405X(87)90004-3 Keim, 1983, Size-related anomalies and stock return seasonality: Further empirical evidence, Journal of Financial Economics, 12, 13, 10.1016/0304-405X(83)90025-9 Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210 Niederhoffer, 1966, Market making and reversals on the stock exchange, Journal of the American Statistical Association, 61, 897, 10.2307/2283188 Roll, 1984, A simple measure of the effective bid/ask spread in an efficient market, Journal of Finance, 39, 1127, 10.2307/2327617