Bid-Ask Spreads in a Heterogeneously Informed Market
This paper provides a numerical method for demonstrating that bid-ask spreads increase with information asymmetry or the probability of insider trading. These spreads also decrease throughout the trading day. Average daily spreads are a non-monotone function of information asymmetry. This result bri...
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| Format: | Others |
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Scholarship @ Claremont
2011
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| Online Access: | http://scholarship.claremont.edu/cmc_theses/274 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1256&context=cmc_theses |