Owen Graduate School of Management, Vanderbilt University. This research was supported by grants from the Financial Markets Research Center and the Dean's Fund for Faculty Research at the Owen Graduate School of Management and from the NASD. I am also grateful to the NASD for providing the data for this study. The helpful comments of Kalman Cohen, Larry Harris, Paul Laux, and Robert Whaley are gratefully acknowledged.
Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests
Version of Record online: 30 APR 2012
© 1989 the American Finance Association
The Journal of Finance
Volume 44, Issue 1, pages 115–134, March 1989
How to Cite
STOLL, H. R. (1989), Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests. The Journal of Finance, 44: 115–134. doi: 10.1111/j.1540-6261.1989.tb02407.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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