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Date: Fri, 11 May 2001 09:04:27 -0700 (PDT)
From: kaminski@enron.com
To: vkaminski@aol.com
Subject: FW: literature research on "Bid-Offer Spread"
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 -----Original Message-----
From: =09Lu, Zimin =20
Sent:=09Friday, May 11, 2001 10:52 AM
To:=09Lee, Bob
Cc:=09Kaminski, Vince J.; Gibner, Stinson
Subject:=09literature research on "Bid-Offer Spread"

Bob,
I used Econ search engin, searched 67 journals about "bid-offer spread" for=
mation, and found
latest research on this subject.  Some abstracts are attached, it seems a l=
ot of studies are already
done. Those titles are very relevent to us.

The address for the search engin is http://www.elsevier.nl/cgi-bin/cas/sear=
ch/search.cgi?jrnlid=3Dfinec.  Could you find out how to become a member so=
 that we can get these papers on line.


Zimin

-------- Search Results ------

Journal of Economic Dynamics and Control
Volume 21, Issue 8-9, 18-June-1997=20

J. Economic Dynamics And Control Vol. 21 (8-9) pp. 1471-1491
Copyright (c) 1997 Elsevier Science B.V. All rights reserved.
Order flow and the bid-ask spread: An Empirical Probability Model Of Screen=
-Based Trading=20
a Tim Bollerslev
b Ian Domowitz
c Jianxin Wang
a , Department of Economics, Rouss Hall, University of Virginia, Charlottes=
ville, VA 22901, USA
, NBER, Cambridge, MA 02138, USA
b , Department of Economics, Northwestern University, Evanston, IL 60208, U=
SA
c , School of Banking and Finance, University of New South Wales, Kensingto=
n, NSW 2033, Australia
Abstract
A probabilistic framework for the analysis of screen-based trading activity=
 is presented. Probability functions are derived for the stationary distrib=
utions of the best bid and offer, conditional on the order flows. By identi=
fying the unobservable order and acceptance flows, our estimation method pe=
rmits the prediction of the stationary distributions of other market statis=
tics. A test is proposed that allows a comparison of predicted and sample b=
id-ask spread distributions taking parameter estimation error into account.=
 The methodology is applied to the screen-based interbank foreign exchange =
market, using continuously recorded quotes on the Deutschemark/US dollar ex=
change rate.=20
Keyword(s): Screen-based trading; Limit order book; Order flow; Bid-ask spr=
eads; Statistical model evaluation; Foreign exchange quotations

Journal of Banking & Finance
Volume 18, Issue 1, 01-January-1994=20

J. Banking And Finance Vol. 18 (1) pp. 199-206
Copyright (c) 1997 Elsevier Science B.V. All rights reserved.
Variance increases following large stock distributions: the role of changin=
g bid--ask spreads and true variances=20
a David R. Peterson
a Pamela P. Peterson
a , Florida State University, Tallahassee, FL, USA
Received 1 June 1992; Revised 1 December 1992
Abstract
In this study we examine two factors affecting variance increases following=
 stock distributions: changing bid--ask spreads and the true variability of=
 the underlying value of the firm. Employing data from the CRSP NASDAQ and =
NMS files, we find a relatively minor role for changing spreads. Increases =
in true variances are the major component of variance increases with change=
s in return autocorrelations playing an important role.=20
Keyword(s): Stock distributions ; Return variances ; Bid--ask spreads ; Ret=
urn autocorrelations


Journal of Financial Markets
Volume 1, Issue 1, 30-April-1998=20

J. Financial Markets Vol. 1 (1) pp. 89-119
Copyright (c) 1998 Elsevier Science B.V. All rights reserved.
Bid--ask spreads with indirect competition among specialists=20
a Thomas Gehrig
b Matthew Jackson
a , Institut zur Erforschung der wirtschaftlichen, Entwicklung, Universit?t=
 Freiburg, D-79085 Freiburg, Germany
b , Humanities and Social Sciences 228-77, California Institute of Technolo=
gy, Pasadena, CA 91125, USA
Abstract
We examine the prices quoted by specialists (or dealers) who have monopoly =
power to set prices (bids and asks) for a given asset, but who face indirec=
t competition from other specialists who trade in related assets. In the co=
ntext of a simple model where investors have mean-variance preferences, we =
characterize the equilibrium bids and asks quoted by K specialists in N ass=
ets, where some specialists may control more than one asset. We compare the=
 equilibrium spreads as the number (and factor structure) of the assets eac=
h specialist controls is varied. It is shown that for some constellations o=
f initial portfolio holdings and asset covariance it is socially preferred =
to have competing specialists, while for others it is socially preferred to=
 have their actions coordinated (or to have one specialist control several =
assets). In a simple factor model, we show how the optimal specialist contr=
ol structure depends on whether the assets trade as substitutes or compleme=
nts. In some situations it is beneficial to have specialist power concentra=
ted within industries, in other situations, across industries, and in yet o=
ther situations, not to be concentrated at all. ? 1998 Elsevier Science B.V=
. All rights reserved.=20
JEL Classification: D43; G12



Journal of Financial Markets
Volume 2, Issue 2, 20-May-1999=20

J. Financial Markets Vol. 2 (2) pp. 179-191
Copyright (c) 1999 Elsevier Science B.V. All rights reserved.
Explaining the intra-day variation in the bid--ask spread in competitive de=
alership markets -- A research note=20
a Eric J. Levin
a b Robert E. Wright
a , Department of Economics University of Stirling, Stirling, Scotland FK9 =
4LA, UK
b , Centre for Economic Policy Research, 25-28 Old Burlington Street, Londo=
n, England W1X 1LB, UK
Abstract
There are many possible explanations for variation in the inside bid--ask s=
pread during the trading day, including informed trading, price inelastic m=
arket demand, price discovery, statistical artefact and market concentratio=
n. Each of these explanations is examined for consistency with respect to b=
oth the inside and average bid--ask spread, observed both inside and outsid=
e the mandatory quote period in the London Stock Exchange. ? 1999 Elsevier =
Science B.V. All rights reserved.=20
JEL Classification: G1
Keyword(s): Bid--ask spread; Competitive dealership markets




Journal of International Financial Markets, Institutions & Money
Volume 9, Issue 2, 01-April-1999=20

J. Int. Financial Markets Vol. 9 (2) pp. 115-128
Copyright (c) 1999 Elsevier Science B.V. All rights reserved.
Asymmetric information and the bid-ask spread: an empirical comparison betw=
een automated order execution and open outcry auction=20
a Jianxin Wang
a , School of Banking and Finance, University of New South Wales, , Sydney =
2052, Australia
Received 1 April 1998; Accepted 1 September 1998
Abstract
This study examines the components of the bid-ask spread on the Sydney Futu=
res Exchange. The Exchange uses open outcry auction for daytime trading, an=
d switches to a screen-based automated order execution system at 16:30 h fo=
r overnight trading. After controlling for proxies of order flow characteri=
stics, the study finds that screen-based traders are more sensitive to mark=
et volatility than floor-based traders in setting the bid-ask spread. Sprea=
ds from floor trading have a smaller adverse information component but a la=
rger order processing cost component relative to screen trading. The result=
s suggest that floor traders can better assess the presence of adverse info=
rmation than screen traders.=20
? All rights reserved.=20
Keyword(s): Trading mechanism; Bid-ask spread; Information asymmetry


Journal of Financial Economics
Volume 53, Issue 2, 01-August-1999=20

Journal Of Financial Economics Vol. 53 (2) pp. 255-287
Copyright (c) 1999 Elsevier Science B.V. All rights reserved.
Limit orders and the bid--ask spread=20
Kee H. Chung
Bonnie F. Van Ness
Robert A. Van Ness
University of Memphis, Memphis, TN 38152, , , USA
Marshall University, Huntington, WV 25755, , , USA
Received 29 December 1997; Accepted 23 September 1998
Abstract
We examine the role of limit-order traders and specialists in the market-ma=
king process. We find that a large portion of posted bid--ask quotes origin=
ates from the limit-order book without direct participation by specialists,=
 and that competition between traders and specialists has a significant imp=
act on the bid--ask spread. Specialists' spreads are widest at the open, na=
rrow until late morning, and then level off. The U-shaped intraday pattern =
of spreads largely reflects the intraday variation in spreads established b=
y limit-order traders. Lastly, the intraday variation in limit-order spread=
s is significantly related to the intraday variation in limit-order placeme=
nts and executions.=20
JEL Classification: G14
Keyword(s): Limit order; Bid--ask spread; Specialists






Journal of Economic Dynamics and Control
Volume 19, Issue 4, 01-January-1995=20

J. Economic Dynamics And Control Vol. 19 (4) pp. 683-710
Copyright (c) 1997 Elsevier Science B.V. All rights reserved.
Dealer market structure, outside competition, and the bid--ask spread=20
a Paul A Laux
a , Department of Banking and Finance, Case Western Reserve University, Cle=
veland, OH 44106-7235, USA
Received 1 November 1993; Accepted 1 April 1994
Abstract
We investigate the linkages between the number of dealers making markets in=
 a security, the extent of outside (or nondealer) competition, and the mark=
et bid--ask spread for NASDAQ NMS stocks. The investigation is guided by a =
model that emphasizes dealers' interactions as their inventories change, an=
d predicts that the extent of outside competition limits the bid--ask sprea=
d and the number of dealers. We hypothesize that the extent of outside mark=
et making capital in a stock is related to that stock's institutional holdi=
ngs. Evidence shows that the extent of institutional holdings relative to t=
rading volume proxies for outside competition. For stocks with little outsi=
de competition, the spread is large even though the number of dealers is al=
so larger than for comparable stocks. The component of the spread related t=
o outside market making capital is economically significant (about (1)/(2) =
to 1 percent of price). The composition of volume as to trade size and trad=
e frequency, which is related to the level of institutional holdings, also =
influences the spread.=20
Keyword(s): Bid--ask spread; Nasdaq; Institutional investors; Market micros=
tructure
JEL Classification: G12