Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq?
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 a...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Van Ness, Bonnie F. [verfasserIn] Van Ness, Robert A. [verfasserIn] Warr, Richard S. [verfasserIn] |
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| Format: |
E-Artikel |
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| Erschienen: |
Oxford, UK and Boston, USA: Blackwell Publishers Ltd ; 2002 |
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| Schlagwörter: |
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| Umfang: |
Online-Ressource |
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| Reproduktion: |
2003 ; Blackwell Publishing Journal Backfiles 1879-2005 |
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| Übergeordnetes Werk: |
In: Journal of business finance & accounting - Oxford : Wiley-Blackwell, 1974, 29(2002), 5/6, Seite 0 |
| Übergeordnetes Werk: |
volume:29 ; year:2002 ; number:5/6 ; pages:0 |
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| DOI / URN: |
10.1111/1468-5957.00451 |
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| 520 | |a 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. | ||
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10.1111/1468-5957.00451 doi (DE-627)NLEJ243367686 DE-627 ger DE-627 rakwb Van Ness, Bonnie F. verfasserin aut Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq? Oxford, UK and Boston, USA Blackwell Publishers Ltd 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| adverse selection Van Ness, Robert A. verfasserin aut Warr, Richard S. verfasserin aut In Journal of business finance & accounting Oxford : Wiley-Blackwell, 1974 29(2002), 5/6, Seite 0 Online-Ressource (DE-627)NLEJ243927193 (DE-600)2020001-8 1468-5957 nnns volume:29 year:2002 number:5/6 pages:0 http://dx.doi.org/10.1111/1468-5957.00451 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 29 2002 5/6 0 |
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10.1111/1468-5957.00451 doi (DE-627)NLEJ243367686 DE-627 ger DE-627 rakwb Van Ness, Bonnie F. verfasserin aut Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq? Oxford, UK and Boston, USA Blackwell Publishers Ltd 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| adverse selection Van Ness, Robert A. verfasserin aut Warr, Richard S. verfasserin aut In Journal of business finance & accounting Oxford : Wiley-Blackwell, 1974 29(2002), 5/6, Seite 0 Online-Ressource (DE-627)NLEJ243927193 (DE-600)2020001-8 1468-5957 nnns volume:29 year:2002 number:5/6 pages:0 http://dx.doi.org/10.1111/1468-5957.00451 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 29 2002 5/6 0 |
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10.1111/1468-5957.00451 doi (DE-627)NLEJ243367686 DE-627 ger DE-627 rakwb Van Ness, Bonnie F. verfasserin aut Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq? Oxford, UK and Boston, USA Blackwell Publishers Ltd 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| adverse selection Van Ness, Robert A. verfasserin aut Warr, Richard S. verfasserin aut In Journal of business finance & accounting Oxford : Wiley-Blackwell, 1974 29(2002), 5/6, Seite 0 Online-Ressource (DE-627)NLEJ243927193 (DE-600)2020001-8 1468-5957 nnns volume:29 year:2002 number:5/6 pages:0 http://dx.doi.org/10.1111/1468-5957.00451 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 29 2002 5/6 0 |
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10.1111/1468-5957.00451 doi (DE-627)NLEJ243367686 DE-627 ger DE-627 rakwb Van Ness, Bonnie F. verfasserin aut Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq? Oxford, UK and Boston, USA Blackwell Publishers Ltd 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier 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. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| adverse selection Van Ness, Robert A. verfasserin aut Warr, Richard S. verfasserin aut In Journal of business finance & accounting Oxford : Wiley-Blackwell, 1974 29(2002), 5/6, Seite 0 Online-Ressource (DE-627)NLEJ243927193 (DE-600)2020001-8 1468-5957 nnns volume:29 year:2002 number:5/6 pages:0 http://dx.doi.org/10.1111/1468-5957.00451 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 29 2002 5/6 0 |
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Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq? |
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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. |
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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. |
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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. |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">NLEJ243367686</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20210707180138.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">120427s2002 xx |||||o 00| ||und c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1111/1468-5957.00451</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)NLEJ243367686</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Van Ness, Bonnie F.</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq?</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Oxford, UK and Boston, USA</subfield><subfield code="b">Blackwell Publishers Ltd</subfield><subfield code="c">2002</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zzz</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">z</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zu</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="d">2003</subfield><subfield code="f">Blackwell Publishing Journal Backfiles 1879-2005</subfield><subfield code="7">|2003||||||||||</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">adverse selection</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Van Ness, Robert A.</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Warr, Richard S.</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">In</subfield><subfield code="t">Journal of business finance & accounting</subfield><subfield code="d">Oxford : Wiley-Blackwell, 1974</subfield><subfield code="g">29(2002), 5/6, Seite 0</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)NLEJ243927193</subfield><subfield code="w">(DE-600)2020001-8</subfield><subfield code="x">1468-5957</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:29</subfield><subfield code="g">year:2002</subfield><subfield code="g">number:5/6</subfield><subfield code="g">pages:0</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://dx.doi.org/10.1111/1468-5957.00451</subfield><subfield code="q">text/html</subfield><subfield code="x">Verlag</subfield><subfield code="z">Deutschlandweit zugänglich</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-DJB</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_NL_ARTICLE</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">29</subfield><subfield code="j">2002</subfield><subfield code="e">5/6</subfield><subfield code="h">0</subfield></datafield></record></collection>
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