A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
نویسندگان
چکیده
منابع مشابه
A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
In an efficient market, the fundamental value of a security fluctuates randomly. However, trading costs induce negative serial dependence in successive observed market price changes. In fact, given market efficiency, the effective bid-ask spread can be measured by
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1984
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1984.tb03897.x