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Determinants of the components of bid-ask spreads on stocks

Kim, Sung-Hun; Ogden, Joseph P. - In: European Financial Management 2 (1996) 1, pp. 127-145

In this paper we show that George et al. (GKN, 1991) 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 use alternative estimators that correct this bias and that are applicable to...

Persistent link: https://www.econbiz.de/10005309592

Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread

Kim, Sung-hun; Ogden, Joseph P. - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 179-200

Persistent link: https://www.econbiz.de/10001394249

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 rationale for the sinking-fund provision in a quasicompetitive corporate-bond market

Ogden, Joseph P. - In: Journal of business research : JBR 16 (1988) 3, pp. 197-208

Persistent link: https://www.econbiz.de/10003643521