Determinants of bid-asked spreads in the over-the-counter market
Journal of Financial EconomicsPublished 1 December 1974
George J. Benston, Robert L. Hagerman
Citations596
SJR quartileQ1
SJR score17.67
SNIP6.18
Generate an AI Snapshot to get a quick, structured summary of this paper.
Study Snapshot
ObjectiveStudy objective
MethodsResearch methodology
PopulationPopulation studied
Sample sizeSample sizes
OutcomesStudy outcomes here
ResultsStudy results comes here
LimitationsResearch study limitations comes here
A concise AI-generated summary of the paper will appear here once you click Generate AI Snapshot.
Abstract
Security market regulators, among others, are concerned to know whether or not dealers are natural monopolists. Based on a randomly drawn sample of 314 over-the-counter stocks, the results of this study suggest that while there are economies of scale, they are not on the dealer level. In addition, both systematic and unsystematic risk were tested for association with the transaction costs in this market. The evidence suggests unsystematic risk is related to spread.
Keywords
Economics, Econometrics and Finance
The Journal of FinanceCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
17,396 Citations1964William F. Sharpe
The Review of Economics and StatisticsThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
6,927 Citations1965John Lintner
SSRN Electronic JournalThe Adjustment of Stock Prices to New Information
3,126 Citations2003Eugene F. Fama, Lawrence Fisher +2 more
Management ScienceA Simplified Model for Portfolio Analysis
2,735 Citations1963William F. Sharpe
Preliminary evidence suggests that the relatively few parameters used by the model can lead to very nearly the same results obtained with much larger sets of relationships among securities, as well as the possibility of low-cost analysis.
The Review of Economics and StatisticsMulticollinearity in Regression Analysis: Comment
186 Citations1969Yoel Haitovsky
Journal of Financial and Quantitative AnalysisCompetition and the Pricing of Dealer Service in the Over-the-Counter Stock Market
184 Citations1972Seha M. Tiniç, Richard West
The Economic JournalThe Economics of the Stock Market.
38 Citations1972Paul Bareau, Richard West +1 more
The Journal of BusinessSome Factors Affecting Stock Price Variability
37 Citations1966A. James Heins, Stephen L. Allison