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dc.contributor.authorBollen, Nicolas P Ben_NZ
dc.contributor.authorSmith, Tomen_NZ
dc.contributor.authorWhaley, Robert Een_NZ
dc.date.available2011-04-07T03:19:01Z
dc.date.copyright2001-08-17en_NZ
dc.identifier.citationBollen, N. P. B., Smith, T., & Whaley, R. E. (2001, August 17). Modeling the bid/ask spread: On the effects of hedging costs and competition. University of Otago Department of Finance Seminar Series. Presented at the University of Otago, Finance department, Seminar.en
dc.identifier.urihttp://hdl.handle.net/10523/1529
dc.description.abstractThe need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and security designs. Prior studies of bid/ask spreads suffer from several forms of misspecification, including inadvertent and erroneous use of weighted least squares regression. This study develops a simple, parsimonious model of the determinants of spread, and then tests it empirically on a sample of NASDAQ stocks. The model performs well and avoids the distortions of prior work. The study demonstrates the importance of proper model specification in providing meaningful inference regarding the determinants of spread.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_01.htmlen_NZ
dc.subjectcompeting market structuresen_NZ
dc.subjectbid/ask spreaden_NZ
dc.subjectdeterminants of spreaden_NZ
dc.subjectNASDAQ stocks,en_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleModeling the bid/ask spread: On the effects of hedging costs and competitionen_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages30en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints591en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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otago.event.dates17 August 2001en_NZ
otago.event.placeRoom 2.07, University of Otago, Dunedin, Otagoen_NZ
otago.event.typeotheren_NZ
otago.event.titleUniversity of Otago, Finance department, Seminaren_NZ
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