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Determinants of the Components of Bid-Ask Spreads on Stocks

Kim, Sung-Hun - 1998

In this paper we show that George, Kaul and Nimalendran's (GKN) estimators of the adverse selection and order processing cost components of the bid-ask spread are biased due to intertemporal variations in the bid-ask spread. We provide new estimators that correct this bias and that are...

Persistent link: https://www.econbiz.de/10012791249

A strategic analysis of stock index-linked CDS

Ogden, Joseph P. - In: Derivatives, regulation and banking, (pp. 193-213). 1997

Persistent link: https://www.econbiz.de/10001324738

The end of the month as a preferred habital : a test of operational efficiency in the money market

Ogden, Joseph P. - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 329-343

Persistent link: https://www.econbiz.de/10001037477

An analysis of yield curve notes

Ogden, Joseph P. - In: The journal of finance : the journal of the American … 42 (1987) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10001047804

Determinants of the ratings and yields on corporate bonds : tests of the contingent claims model

Ogden, Joseph P. - In: The journal of financial research 10 (1987) 4, pp. 329-339

Persistent link: https://www.econbiz.de/10001086196

Empirical analyses of three explanations for the positive autocorrelation of short-horizon stock index returns

Ogden, Joseph P. - In: Review of quantitative finance and accounting 9 (1997) 2, pp. 203-217

Persistent link: https://www.econbiz.de/10001590902

The calendar structure of risk and expected returns on stocks and bonds

Ogden, Joseph P. - In: Journal of financial economics 70 (2003) 1, pp. 29-67

Persistent link: https://www.econbiz.de/10001799436

Turn-of-month evaluations of liquid profits and stock returns : a common explanation for the monthly and January effects

Ogden, Joseph P. - In: The journal of finance : the journal of the American … 45 (1990) 4, pp. 1259-1272

Persistent link: https://www.econbiz.de/10001098064

A new estimate of transaction costs

Lesmond, David A.; Ogden, Joseph P.; Trzcinka, Charles - In: The review of financial studies 12 (1999) 5, pp. 1113-1141

Persistent link: https://www.econbiz.de/10001434632

A corporate bond innovation of the 90s : the clawback provision in high-yield debt

Goyal, Vidhan K.; Gollapudi, Neela; Ogden, Joseph P. - In: The journal of corporate finance : contracting, … 4 (1998) 4, pp. 301-320

Persistent link: https://www.econbiz.de/10001427558