Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers Ltd
Journal of business finance & accounting
29 (2002), S. 0
ISSN:
1468-5957
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Affleck–Graves, Hegde and Miller (1994) find that the adverse selection component of the bid–ask spread is higher for NYSE and Amex stocks than for Nasdaq stocks. Using the model of Huang and Stoll (1997), we revisit their study and find the opposite to be true – the adverse selection component is actually higher for Nasdaq stocks than for NYSE and Amex stocks. The economic magnitude of this additional adverse selection cost is very significant. Our results have important implications for the understanding of information production in dealer versus auction markets, and the costs of trading on such markets.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1468-5957.00451
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